Some analytic approximations for neutral stochastic functional differential equations (Q618045): Difference between revisions

An iterative sequence of approximate solutions is presented and proved to converge both with probability one and in the \(p\)th moment to the exact solution of the \(k\)-dimensional neutral stochastic functional differential equation \[ d[x(t)- G(x_t)]= a(t,x_t)\,dt+ b(t,x_t)\, dw_t,\quad t\in [t_0,T], \] where \(x_{t_0}= \xi= \{\xi(\theta): -\tau\leq\theta\leq 0\}\).