Convergence of solutions of mixed stochastic delay differential equations with applications

DOI10.1016/J.AMC.2015.01.019zbMATH Open1338.34155arXiv1407.5149OpenAlexW2007809188MaRDI QIDQ300023FDOQ300023

Yuliya S. Mishura, G. M. Shevchenko, Taras Shalaiko

Publication date: 23 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Abstract: The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a $gamma$-H"older continuous process with $gamma>1/2$ (e.g. a fractional Brownian motion with Hurst parameter greater than $1/2$). It is shown that its solution depends continuously on the coefficients and the initial data. Two applications of this result are given: the convergence of solutions to equations with vanishing delay to the solution of equation without delay and the convergence of Euler approximations for mixed stochastic differential equations. As a side result of independent interest, the integrability of solution to mixed stochastic delay differential equations is established.

Full work available at URL: https://arxiv.org/abs/1407.5149

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zbMATH Keywords

fractional Brownian motionstochastic delay differential equationconvergence of solutionsEuler approximationmixed stochastic differential equationvanishing delay

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Stochastic functional-differential equations (34K50)

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Cited In (6)

• Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
• Stochastic Averaging Principle for Mixed Stochastic Differential Equations
• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• Applying the random variable transformation method to solve a class of random linear differential equation with discrete delay
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application

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