Geodesic
Carathéodory's approximate solution to stochastic differential delay equation
Cho, Yeol Je1 ; Kim, Young-Ho2
1 Department of Mathematics Education and the RINS, Gyeongsang National University, Jinju 660-701, Republic of Korea;Center for General Education, China Medical University, Taichung, 40402, Taiwan
2 Department of Mathematics, Changwon National University, Changwon 641-773, Republic of Korea
Journal of nonlinear sciences and its applications, Tome 10 (2017) no. 4, p. 1365-1376.

Voir la notice de l'article provenant de la source International Scientific Research Publications

In this paper, we show the difference between an approximate solution and an accurate solution for a stochastic differential delay equation, where the approximate solution, which is called by Carathéodory, is constructed by successive approximation. Furthermore, we study the p-th moment continuity of the approximate solution for this delay equation.
DOI : 10.22436/jnsa.010.04.08
Classification : 60H05, 60H10, 60H20
Keywords: Hölder’s inequality, moment inequality, Carathéodory approximation procedure, stochastic differential delay equation.

Cho, Yeol Je 1 ; Kim, Young-Ho 2

1 Department of Mathematics Education and the RINS, Gyeongsang National University, Jinju 660-701, Republic of Korea;Center for General Education, China Medical University, Taichung, 40402, Taiwan
2 Department of Mathematics, Changwon National University, Changwon 641-773, Republic of Korea 
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Cho, Yeol Je; Kim, Young-Ho. Carathéodory's approximate solution to stochastic differential delay equation. Journal of nonlinear sciences and its applications, Tome 10 (2017) no. 4, p. 1365-1376. doi : 10.22436/jnsa.010.04.08. http://geodesic.mathdoc.fr/articles/10.22436/jnsa.010.04.08/

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