Solutions of stochastic differential-functional equations via bounded stochastic integral contractors (Q1194474): Difference between revisions
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Latest revision as of 14:12, 16 May 2024
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English | Solutions of stochastic differential-functional equations via bounded stochastic integral contractors |
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Solutions of stochastic differential-functional equations via bounded stochastic integral contractors (English)
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27 September 1992
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Bounded stochastic integral contractors are used to establish the existence and uniqueness of the solution of a general stochastic differential-functional equation \(d\varphi(t)=F(D(\varphi_ t),dt)\), where \(\varphi_ t=\{\varphi(t-s): -\tau\leq s\leq 0\}\), \(D: C([- \tau,0],\mathbb{R}^ d)\to\mathbb{R}^ m\), and \(F(x,t)\) is a \(d\)-dimensional continuous \(C\)-semi-martingale with spatial parameter \(x\in\mathbb{R}^ m\). The integral here is a nonlinear stochastic integral. An application to stochastic differential equations is provided, and the theory is illustrated by an example.
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stochastic integral contractors
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stochastic differential-functional equation
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nonlinear stochastic integral
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