The difference between the approximate and the accurate solution to stochastic differential delay equation

zbMATH Open1326.60085MaRDI QIDQ5500331FDOQ5500331

Authors: Young-Ho Kim 

Publication date: 5 August 2015

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• A note on the approximate solutions to stochastic differential delay equation
• Euler-Maruyama's approximate solutions to stochastic differential delay equation
• Carathéodory's approximate solution to stochastic differential delay equation
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• Approximate solutions of stochastic differential delay equations with Markovian switching

zbMATH Keywords

Euler-Maruyama approximationstochastic differential delay equationsDoob's martingale inequalityHölder's inequalityCarathéodory approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (4)

• Carathéodory's approximate solution to stochastic differential delay equation
• Carathéodory's approximate solution to stochastic differential delay equation
• A note on the approximate solutions to stochastic differential delay equation
• Euler-Maruyama's approximate solutions to stochastic differential delay equation

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