Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach (Q2212616)

In this paper, a new generalized coupling approach is established to the study of stochastic delay equations with Hölder continuous coefficients, for which analytical PDE-based methods are not available. One of the results proves that such an equation possesses a unique weak solution, and another result states weak ergodic rates for the corresponding segment process. Under additional smoothness assumptions on the coefficients of the stochastic delay equation, stabilization rates of the corresponding semigroup showing the sensitivities to the initial value are proved. The method is based on the concept of generalized coupling called Control-and-Reimburse (C-n-R) strategy, an extension of the classical notion of coupling. It is shown that this C-n-R strategy is well applicable under Hölder continuity assumptions on the coefficients for establishing ergodic rates for delay equations with non-Lipschitz coefficients, and for obtaining stabilization rates for sensitivities of the model