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Perturbed stochastic hereditary differential equations 

Authors: Svetlana Jankovicacute a; Miljana Jovanovicacute a
Affiliation:   a Department of Mathematics, Faculty of Science, University of Niscaron, Niscaron, Yugoslavia
DOI: 10.1081/SAP-120004115
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 20, Issue 3 October 2002 , pages 567 - 589
Formats available: HTML (English) : PDF (English)
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Abstract

The aim of the present paper is to investigate the solution of the stochastic hereditary integrodifferential equation of Itocirc type with “small” perturbations which is at least a non-Markovian process, by comparing it with the solution of a simpler equation, i.e. of an unperturbed stochastic hereditary differential equation the solution of which is certainly a Markovian process. More precisely, we estimate the closeness of the (2m)th moments of these solutions. If the solutions are defined on unbounded intervals, we give sufficient conditions under which they are closed on intervals whose length goes to infinity.
Keywords: Stochastic differential equation; Parametric perturbations; Closeness in the (2m)th mean; AMS Subject Classification: 60H10
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