Weak convergence of delay SDEs with applications to Carathéodory approximation

2021/09/04 by Ta Cong Son, Son, T. C., Nguyễn Tiến Dũng +9
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Economic theories and models

paper · pdf · doi:10.48550/arxiv.2109.01811

Abstract

In this paper, we consider a fundamental class of stochastic differential equations with time delays. Our aim is to investigate the weak convergence with respect to delay parameter of the solutions. Based on the techniques of Malliavin calculus, we obtain an explicit estimate for the rate of convergence. An application to the Carathéodory approximation scheme of stochastic differential equations is provided as well.

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