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Showing 1 to 5 of 5 for “"stochastic functional differential equations"”.
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STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS WITH INFINITE MEMORY
… discuss the existence and uniqueness of Ito-type stochastic functional differential equations with infinite memory using fixed point theorem technique. We also address the properties of the solution which are an upper bound for the pth moments of the solution and the Lp-regularity. Then, we …
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Closing the memory gap in stochastic functional differential equations
… paper, we obtain convergence of solutions of stochastic differential systems with memory gap to those with full finite memory. More specifically, solutions of stochastic differential systems with memory gap are processes in which the intrinsic dependence of the state on its history goes only …
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STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION AND THEIR GENERALIZATIONS
We consider a stochastic functional differential equation with infinite memory driven by a fractional Brownian motion with Hurst parameter $H>1/2$. We prove an existence and uniqueness result of the solution to the stochastic differential equation. We investigate the dependence of the solution on …
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On the pathwise large deviations of stochatic differential and functional differential equations with applications to finance
… the asymptotic behaviour of highly nonlinear stochastic differential equations, as well as linear and nonlinear functional differential equations. Both ordinary functional and neutral equations are analysed. In the first chapter, a class of nonlinear stochastic differential equations which …
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Stochastic delay difference and differential equations: applications to financial markets
… thesis deals with the asymptotic behaviour of stochastic difference and functional differential equations of Itˆo type. Numerical methods which both minimise error and preserve asymptotic features of the underlying continuous equation are studied. The equations have a form which makes them …