Hybrid stochastic functional differential equations with infinite delay : approximations and numerics

Li, Guozhen and Li, Xiaoyue and Mao, Xuerong and Song, Guoting (2023) Hybrid stochastic functional differential equations with infinite delay : approximations and numerics. Journal of Differential Equations, 374. pp. 154-190. ISSN 0022-0396 (https://doi.org/10.1016/j.jde.2023.07.028)

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Abstract

This paper is to investigate if the solution of a hybrid stochastic functional differential equation (SFDE) with infinite delay can be approximated by the solution of the corresponding hybrid SFDE with finite delay. A positive result is established for a large class of highly nonlinear hybrid SFDEs with infinite delay. Our new theory makes it possible to numerically approximate the solution of the hybrid SFDE with infinite delay, via the numerical solution of the corresponding hybrid SFDE with finite delay.

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