Existence and uniqueness of solutions to neutral stochastic functional differential equations with infinite delay (Q1045809): Difference between revisions
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scientific article
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English | Existence and uniqueness of solutions to neutral stochastic functional differential equations with infinite delay |
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Existence and uniqueness of solutions to neutral stochastic functional differential equations with infinite delay (English)
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16 December 2009
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The authors prove an existence and uniqueness result for a neutral stochastic delay differential equation with unbounded delay driven by Brownian motion with initial condition in the state space of bounded continuous functions on \((-\infty,0]\) taking values in \({\mathbb R}^d\). Their basic assumption is a local Lipschitz and a linear growth condition on the coefficients with respect to the supremum norm on the state space. The existence proof is based on the usual successive approximation procedure.
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neutral stochastic functional differential equations
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existence
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uniqueness
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infinite delay
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