Sample path approximation for stochastic integro-differential equations
Given an \(n\)-dimensional Brownian motion \(W\) and uniformly continuous functions \(f:[0,T]\times R^n\times R^n\to R^n\), \(\sigma:[0,T] \times R^n\times R^n\to R^{n\times n}\), \(\alpha,\beta: [0,T]\times [0,T]\times R^n\to R^n\) of sublinear growth, the authors study the problem of mean square sample path convergence for a special Euler-Maruyama stochastic difference scheme for the system \[ dX_t =f\left(t,X_t, \int^t_0\alpha (t,s,X_s)ds \right)dt+ \sigma\left(t,X_t, \int^t_ 0\beta (t,s,X_s)ds\right) dW_t,t\in [0,T];\;X_0 =x_0\in R^n. \] The convergence result is proved under certain boundedness and consistency assumptions on the solutions of the stochastic difference scheme. The proof bases on the method of weak convergence and the technique of Skorokhod representation in the space of continuous trajectories.
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