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On the solution of stochastic functional differential equations via memory gap
Flavia Sancier, Salah Mohammed Sciences Division, Antioch College, 1 Morgan Place, Yellow Springs, OH 45387, USA
Аннотация:
We present an alternative proof for the existence of solutions of stochastic functional differential equations satisfying a global Lipschitz condition. The proof is based on an approximation scheme in which the continuous path dependence does not go up to the present: there is a memory gap. Strong convergence is obtained by closing the gap. Such approximation is particularly useful when extending stochastic models with discrete delay to models with continuous full finite memory.
Ключевые слова:
Stochastic functional differential equations, existence of solutions, approximation scheme, memory, delay.
Образец цитирования:
Flavia Sancier, Salah Mohammed, “On the solution of stochastic functional differential equations via memory gap”, Theory Stoch. Process., 22(38):2 (2017), 69–78
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp181 https://www.mathnet.ru/rus/thsp/v22/i2/p69
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Страница аннотации: | 126 | PDF полного текста: | 38 | Список литературы: | 17 |
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