An analytic approximate method for solving stochastic integrodifferential equations
The authors study a general stochastic integrodifferential equation of the Ito type; \[ \begin{aligned} dx_t=[a_1(t,x_t) & +\int^t_0a_2(t,s,x_s)ds+ \int^t_0a_3 (t,s,x_s)dw_s ]dt\\ +[b_1(t,x_t) & +\int^t_0b_2 (t,s,x_s)dx+\int^t_0b_3 (t,s,x_s)dw_s]dw_t,\;t\in[0,1],\tag{1} \\ x(0)=x_0 & \text{a.s.}\end{aligned} \] Together with (1) they consider the sequence of appropriate equations of the same type, whose coefficients are Taylor expansions of the coefficients of (1). The basis of such approximation is that the approximate solutions are defined on an arbitrary partition of the time interval \([0,1]\). It is shown that a sequence of the approximate solutions converges to solution of (1) in the sense of the \(L^p\)-norm and with probability one.
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