Approximate solutions for a class of doubly perturbed stochastic differential equations

Mao, Wei and Hu, Liangjian and Mao, Xuerong (2018) Approximate solutions for a class of doubly perturbed stochastic differential equations. Advances in Difference Equations, 2018 (1). ISSN 1687-1847 (https://doi.org/10.1186/s13662-018-1490-5)

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Abstract

In this paper, we study the Carathéodory approximate solution for a class of doubly perturbed stochastic differential equations (DPSDEs). Based on the Carathéodory approximation procedure, we prove that DPSDEs have a unique solution and show that the Carathéodory approximate solution converges to the solution of DPSDEs under the global Lipschitz condition. Moreover, we extend the above results to the case of DPSDEs with non-Lipschitz coefficients.

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