This paper concerns stochastic differential equations
driven by G-Brownian motion under non-Lipschitz condition which is a much weaker
condition with a wider range of applications. Stochastic averaging is established
for such non-Lipschitz SDEs where an averaged system is presented to replace the
original one in the sense of mean square. An example is presented to illustrate
the averaging principle.
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HAN Min, LIU YaXiang. Stochastic Averaging for Non-Lipschitz SDEs with G-Brownian Motion. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2017, 34(3): 297-309.