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JOURNALS // Matematicheskii Sbornik // Archive

Mat. Sb., 1990 Volume 181, Number 2, Pages 256–268 (Mi sm1154)

This article is cited in 70 papers

On the averaging principle for systems of stochastic differential equations

A. Yu. Veretennikov

Institute of Control Sciences

Abstract: New theorems are established about averaging of systems of Itö stochastic equations with coefficients measurable with respect to the “slow” variables, and about the limit behavior of a solution of the corresponding Cauchy problem for a singularly perturbed parabolic equation of second order.

UDC: 519.2

MSC: Primary 60H10; Secondary 34C29

Received: 23.03.1988 and 18.01.1989


 English version:
Mathematics of the USSR-Sbornik, 1991, 69:1, 271–284

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