An application of Taylor series in the approximation of solutions to stochastic differential equations with time-dependent delay |
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Authors: | Marija Milo&scaron evi? Miljana Jovanovi? |
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Affiliation: | University of Niš, Faculty of Sciences and Mathematics, Višegradska 33, 18000 Niš, Serbia |
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Abstract: | The subject of this paper is the analytic approximation method for solving stochastic differential equations with time-dependent delay. Approximate equations are defined on equidistant partitions of the time interval, and their coefficients are Taylor approximations of the coefficients of the initial equation. It will be shown, without making any restrictive assumption for the delay function, that the approximate solutions converge in Lp-norm and with probability 1 to the solution of the initial equation. Also, the rate of the Lp convergence increases when the degrees in the Taylor approximations increase, analogously to what is found in real analysis. At the end, a procedure will be presented which allows the application of this method, with the assumption of continuity of the delay function. |
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Keywords: | 60H10 |
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