Well-posedness, stability and sensitivities for stochastic delay equations: a generalized coupling approach

DOI10.1214/20-AOP1449zbMath1481.34094arXiv1808.06050OpenAlexW3093988681MaRDI QIDQ2212616

Michael K. R. Scheutzow, Alexei M. Kulik

Publication date: 24 November 2020

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.06050

zbMATH Keywords

sensitivityweak solutionstochastic delay equationgeneralized couplingweak ergodic rate

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Functional-differential equations in abstract spaces (34K30) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic functional-differential equations (34K50)

Related Items (5)

Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality ⋮ Bismut formula for Lions derivative of distribution-path dependent SDEs ⋮ Asymptotic Bismut formulae for stochastic functional differential equations with infinite delay ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Stochastic wave equation with Hölder noise coefficient: well-posedness and small mass limit

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