Successive approximations to solutions of stochastic functional differential equations (Q2720146)

The author considers stochastic functional differential equations of Itô type with finite memory: NEWLINE\[NEWLINEdx(t) = f(t,\pi_t x) dt + g(t,\pi_t x) dw(t),\;t > t_0 \geq 0;\quad x(t) = \varphi(t),\;t \in [t_0-T,t_0],\;0 \leq T < \infty,NEWLINE\]NEWLINE where \(\pi_t x = \{ x(t-T+s): 0 \leq s \leq T\}\). He proves the existence of local and global solutions of this problem. The methods used in the proofs are combinations of successive approximations and comparison techniques. The existence theorems do require neither the assumption of global Lipschitz-continuity, nor a linear growth condition on the coefficient functions.