Pathwise Estimation of Stochastic Differential Equations with Unbounded Delay and Its Application to Stochastic Pantograph Equations

被引：0

作者：

Xuejing Meng

Shigeng Hu

Ping Wu

机构：

[1] Huazhong University of Science and Technology,School of Mathematics and Statistics

[2] Air Force Radar Academy,Department of the Basics

来源：

Acta Applicandae Mathematicae | 2011年 / 113卷

关键词：

Stochastic differential equation; Unbounded delay; Pathwise estimation; Pantograph equation; 60H10; 65H35;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

The existence and uniqueness of the global solution of stochastic differential equations with discrete variable delay is investigated in this paper, and the pathwise estimation is also done by using Lyapunov function method and exponential martingale inequality. The results can be used not only in the case of bounded delay but also in the case of unbounded delay. As the applications, this paper considers the pathwise estimation of solutions of stochastic pantograph equations.

引用

页码：231 / 246

页数：15

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