On the solution of stochastic functional differential equations via memory gap

MaRDI QIDQ4559033zbMATH OpenFDO

Authors Flavia Sancier, Salah Mohammed

Publication date 30 November 2018

Full work available at URL https://arxiv.org/abs/1709.00469, http://tsp.imath.kiev.ua/files/2220/art2220_07.pdf

zbMATH Keywords

approximation schemedelayexistence of solutionsmemorystochastic functional-differential equations

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic analysis (60H99)

Abstract: We present an alternative proof for the existence of solutions of stochastic functional differential equations satisfying a global Lipschitz condition. The proof is based on an approximation scheme in which the continuous path dependence does not go up to the present: there is a memory gap. Strong convergence is obtained by closing the gap. Such approximation is particularly useful when extending stochastic models with discrete delay to models with continuous full finite memory.

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