Author:
Son Ta Cong,Dung Nguyen Tien,Tan Nguyen Van,Cuong Tran Manh,Thao Hoang Thi Phuong,Tung Pham Dinh
Abstract
<p style='text-indent:20px;'>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 Carathéodory approximation scheme of stochastic differential equations is provided as well.</p>
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
Applied Mathematics,Discrete Mathematics and Combinatorics
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