Carathéodory's approximate solution to stochastic differential delay equation
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Authors
Yeol Je Cho
- 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.
Young-Ho Kim
- Department of Mathematics, Changwon National University, Changwon 641-773, Republic of Korea.
Abstract
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.
Share and Cite
ISRP Style
Yeol Je Cho, Young-Ho Kim, Carathéodory's approximate solution to stochastic differential delay equation, Journal of Nonlinear Sciences and Applications, 10 (2017), no. 4, 1365--1376
AMA Style
Cho Yeol Je, Kim Young-Ho, Carathéodory's approximate solution to stochastic differential delay equation. J. Nonlinear Sci. Appl. (2017); 10(4):1365--1376
Chicago/Turabian Style
Cho, Yeol Je, Kim, Young-Ho. "Carathéodory's approximate solution to stochastic differential delay equation." Journal of Nonlinear Sciences and Applications, 10, no. 4 (2017): 1365--1376
Keywords
- Hölder’s inequality
- moment inequality
- Carathéodory approximation procedure
- stochastic differential delay equation.
MSC
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