Weak convergence of delay SDEs with applications to Carath\'eodory approximation
Probability
2021-09-07 v1
Abstract
In this paper, we consider a fundamental class of stochastic differential equations with time delays. Our aim is to investigate the weak convergence with respect to delay parameter of the solutions. Based on the techniques of Malliavin calculus, we obtain an explicit estimate for the rate of convergence. An application to the Carath\'eodory approximation scheme of stochastic differential equations is provided as well.
Cite
@article{arxiv.2109.01811,
title = {Weak convergence of delay SDEs with applications to Carath\'eodory approximation},
author = {T. C. Son and N. T. Dung and N. V. Tan and T. M. Cuong and H. T. P. Thao and P. D. Tung},
journal= {arXiv preprint arXiv:2109.01811},
year = {2021}
}
Comments
22 pages, to appear in Discrete & Continuous Dynamical Systems - B