An approximate method via Taylor series for stochastic functional differential equations (Q1043908): Difference between revisions
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Revision as of 19:04, 19 March 2024
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English | An approximate method via Taylor series for stochastic functional differential equations |
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An approximate method via Taylor series for stochastic functional differential equations (English)
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10 December 2009
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Using Taylor expansions of \(f\) and \(g\), approximate solutions are generated for a stochastic functional differential equation of the form \[ dx(t)= f(x_t, t)\,dt+ g(x_t,t)\,dw(t), \] where \(f\) and \(g\) are functionals and \(w\) is standard Brownian motion. Then it is proved that the approximate solutions converge pathwise to the actual solution. An error bound is derived that relates the maximum error to the degrees of the two Taylor expansions used.
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stochastic functional differential equation
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Fréchet derivative
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Taylor approximation
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\(L^p\) and almost sure convergence
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