An averaging principle for stochastic evolution equations with jumps and random time delays

Abstract

This paper investigates an averaging principle for stochastic evolution equations with jumps and random time delays modulated by two-time-scale Markov switching processes in which both fast and slow components co-exist. We prove that there exists a limit process (averaged equation) being substantially simpler than that of the original one.

Keywords

• averaging principle
• stochastic evolution equations
• jumps
• random time delays
• two-time-scale markov switching processes