Perturbed stochastic hereditary differential equations
Authors:
Svetlana Jankovi
a;
Miljana Jovanovi
a
a;
Miljana Jovanovi
a
| Affiliation: | a Department of Mathematics, Faculty of Science, University of Ni , Ni , Yugoslavia |
DOI:
10.1081/SAP-120004115
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
20,
Issue
3
October
2002
, pages 567
- 589
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Abstract
The aim of the present paper is to investigate the solution of the stochastic hereditary integrodifferential equation of It
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 |
| view references (21) |

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, Ni
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.
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