Successive approximation of neutral functional stochastic differential equations with variable delays

Bo Du

Applied Mathematics and Computation, 2015, vol. 268, issue C, 609-615

Abstract: By using successive approximation, we prove the existence and uniqueness of initial value problem for stochastic differential equations driven by both the cylindrical Brownian motion and by the variable delays in a Hilbert space with non-Lipschitzian coefficients. Moreover, the numerical solutions are shown to converge uniformly to the analytical solutions of the stochastic differential equation.

Keywords: Non-Lipschitz condition; Successive approximation; Variable delays (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:268:y:2015:i:c:p:609-615

DOI: 10.1016/j.amc.2015.06.106

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