On perturbed nonlinear Itô type stochastic integrodifferential equations (Q1604608): Difference between revisions

The authors consider nonlinear Itô-type stochastic integro-differential equations of the form \[ \begin{multlined} dx_t = F\Biggl(t, x_t, \int_0^t f_1(t,s,x_s) ds, \int_0^t f_2(t,s,x_s) dw_s\Biggr) dt \\ +G\Biggl(t, x_t, \int_0^t g_1(t,s,x_s) ds, \int_0^t g_2(t,s,x_s) dw_s\Biggr) dw_t, \quad x(0) = x_0.\end{multlined}\tag{1} \] Here \((w_t,t\geq 0)\) denotes a one-dimensional Wiener process. They investigate the effect of small perturbations, depending on a parameter \(\varepsilon \in (0,1)\) on the solution of (1). In particular they compare the solution \(x\) of (1) with the solution \(x^{\varepsilon}\) of a perturbed equation, i.e. Eq. (1) with \(x_0\) replaced by \(x_0^{\varepsilon}\) and the functions \(F, G,f_1,\dots \) replaced by perturbed functions \({\widetilde F}, {\widetilde G}, {\widetilde f_1}, \dots \). They give conditions on the size of the perturbations and obtain then that \( \sup_{t\in [0,T]} E|x_t^{\varepsilon}- x_t|^{2m} \) decays to \(0\) as \(\varepsilon\) goes to \(0\), \(m\) a natural number. An example concludes the article.