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<p>In this paper, we consider the averaging principle for stochastic differential equations (SDEs) with irregular coefficients. The structure of the article is roughly divided into two parts. Firstly, we use the regularity of the non-degenerate Kolmogorov equation to establish the averaging principle for a class of SDEs with drift coefficients satisfying the Dini continuity condition. Secondly, when the diffusion coefficient is only Hölder continuous in space variable, we obtain corresponding results using the Yamada–Watanabe approximation techniques.</p>

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Averaging Principle for Stochastic Differential Equations with Irregular Coefficients

  • 期刊论文

  • 发表日期：

    2026年2月23日

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  • Zhongkai Guo,
  • Xiang Sha,
  • Xiao Wang,
  • Jinlong Wei

摘要

In this paper, we consider the averaging principle for stochastic differential equations (SDEs) with irregular coefficients. The structure of the article is roughly divided into two parts. Firstly, we use the regularity of the non-degenerate Kolmogorov equation to establish the averaging principle for a class of SDEs with drift coefficients satisfying the Dini continuity condition. Secondly, when the diffusion coefficient is only Hölder continuous in space variable, we obtain corresponding results using the Yamada–Watanabe approximation techniques.