scientific article; zbMATH DE number 1823775
The authors give conditions under which solutions of the Itô type stochastic differential equation \(dx_t=a(t,x_t) dt+b(t,x_t) dw_t\), \(t\in[0,T]\), \(x_0=\eta\), and the corresponding perturbed equation are closed in the (\(2m\))th moment sense on finite time intervals or on intervals whose lengths tend to infinity as the small parameter tends to zero. Perturbations are of the following kind: The function \[ a^\varepsilon(t,x_t^\varepsilon) =\alpha_1(t,x_t^\varepsilon,\varepsilon)a(t,x_t^\varepsilon)+ \alpha_2(t,x_t^\varepsilon,\varepsilon) \] of the perturbed process \(x_t^\varepsilon\) satisfies \[ \sup_{x\in R}\left|\alpha_1(t,x,\varepsilon)-1\right|\leq \delta_1(t,\varepsilon),\quad \sup_{x\in R}\left|\alpha_2(t,x,\varepsilon)\right|\leq \delta_2(t,\varepsilon); \] analogous relations hold for the function \(b^\varepsilon(t,x_t^\varepsilon)\), and also assuming that \(E\left|\eta^\varepsilon-\eta\right|^{2m} \leq \delta_0(\varepsilon)\), where \(\delta_i\) are small for \(\varepsilon\) small.
- Quantitative results for perturbed stochastic differential equations
- scientific article; zbMATH DE number 2233260
- Functionally perturbed stochastic differential equations
- On perturbed nonlinear Itô type stochastic integrodifferential equations
- GENERALIZED STOCHASTIC PERTURBATION-DEPENDING DIFFERENTIAL EQUATIONS
- On perturbed nonlinear Itô type stochastic integrodifferential equations
- Quantitative results for perturbed stochastic differential equations
- Functionally perturbed stochastic differential equations
- GENERALIZED STOCHASTIC PERTURBATION-DEPENDING DIFFERENTIAL EQUATIONS
- scientific article; zbMATH DE number 2233260 (Why is no real title available?)
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