Approximate solutions for a class of doubly perturbed stochastic differential equations
نویسندگان
چکیده
*Correspondence: [email protected] 1College of Information Sciences and Technology, Donghua University, Shanghai, China 2School of Mathematics and Information Technology, Jiangsu Second Normal University, Nanjing, China Full list of author information is available at the end of the article 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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