Related papers: A note on Euler approximations for stochastic diff…
We establish Euler-Lagrange equations for a problem of Calculus of variations where the unknown variable contains a term of delay on a segment.
This paper is concerned with strong convergence and almost sure convergence for neutral stochastic differential delay equations under non-globally Lipschitz continuous coefficients. Convergence rates of $\theta$-EM schemes are given for…
In this paper, we study the convergence for solutions to a sequence of (possibly degenerate) stochastic differential equations with jumps, when the coefficients converge in some appropriate sense. Our main tools are the superposition…
This paper introduces a class of backward stochastic differential equations (BSDEs), whose coefficients not only depend on the value of its solutions of the present but also the past and the future. For a sufficiently small time delay or a…
We provide sufficient conditions on the coefficients of a stochastic functional differential equation with bounded memory driven by Brownian motion which guarantee existence and uniqueness of a maximal local and global strong solution for…
This work establishes the weak convergence of Euler-Maruyama's approximation for stochastic differential equations (SDEs) with singular drifts under the integrability condition in lieu of the widely used growth condition. This method is…
We present a theory of backward stochastic differential equations in continuous time with an arbitrary filtered probability space. No assumptions are made regarding the left continuity of the filtration, of the predictable quadratic…
The fundamental matrix and the delay Lyapunov matrix of linear delay difference equations are introduced. Some properties of the Lyapunov matrix, and the jump discontinuities of its derivative are proven, leading to its construction in the…
We study semi-dynamical systems associated to delay differential equations. We give a simple criteria to obtain weak and strong persistence and provide sufficient conditions to guarantee uniform persistence. Moreover, we show the existence…
We consider the long-time behavior of an explicit tamed exponential Euler scheme applied to a class of parabolic semilinear stochastic partial differential equations driven by additive noise, under a one-sided Lipschitz continuity…
This paper continues the study of [11, 13] for stationary solutions of stochastic linear retarded functional differential equations with the emphasis on delays which appear in those terms including spatial partial derivatives. As a…
We introduce a new class of numerical methods for solving McKean-Vlasov stochastic differential equations, which are relevant in the context of distribution-dependent or mean-field models, under super-linear growth conditions for both the…
We present a criterion for uniform in time convergence of the weak error of the Euler scheme for Stochastic Differential equations (SDEs). The criterion requires i) exponential decay in time of the space-derivatives of the semigroup…
In this paper we establish a comparison theorem for stochastic differential delay equations with jumps. An example is constructed to demonstrate that the comparison theorem need not hold whenever the diffusion term contains a delay function…
We study invariance and monotonicity properties of Kunita-type stochastic differential equations in $\RR^d$ with delay. Our first result provides sufficient conditions for the invariance of closed subsets of $\RR^d$. Then we present a…
We study the traditional backward Euler method for $m$-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H > 1/2$ whose drift coefficient satisfies the one-sided Lipschitz condition.…
In this paper, we study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are…
This article introduces and analyzes a new explicit, easily implementable, and full discrete accelerated exponential Euler-type approximation scheme for additive space-time white noise driven stochastic partial differential equations…
We prove necessary optimality conditions of Euler-Lagrange type for a problem of the calculus of variations with time delays, where the delay in the unknown function is different from the delay in its derivative. Then, a more general…
In this paper we study the uniqueness property of solutions to the steady incompressible Euler equations with perturbations in $\Bbb R^N$. Our perturbations include as special cases the Euler equations with a `single signed' nonlinear term,…