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On the solution of stochastic ordinary differential equations via small delays |
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| Abstract: | dx(t)=g(x{t))dW(t) is proved using an approximating sequence of stochastic delay equationsGeneralizations of the approximation scheme are indicated for the Stratonovich case and when the Brownian motion W is replaced by a continuous semi-martingale. |
| Keywords: | Ito stochastic o d e Ito stochastic delay equation Ito integral weak solution Stratonovich s d e |