The goal of this research is to show that the Integration by Parts formula we developed in this paper can be used to expand all of Bally and Talay's formulae (in [1]) to include delay SDEs as well as SDEs. This indicates that this research may be used to determine the rate of convergence of the density of the distribution of the solution process for both delay and conventional SDEs. We developed an integration by parts formula employing Malliavin derevatives of delay (functional) SDE solutions (see equation) (1.1). The integration by parts formula we developed is actually an expansion of the integration by parts formula that includes both delay and conventional SDEs. The incorporation of We have demonstrated that the components formula may be utilised to expand Bally and Talay's formulations to include both delay and regular SDEs.
Author(S) Details
Tagelsir A. Ahmed
Department of Pure Mathematics, Faculty of Mathematical Science, University of Khartoum, P.O.Box 321, Khartoum, Sudan.
A. Van Casteren, Jan
Department of Mathematics and Computer Science, University of Antwerp (UA), Middelheimlaan 1, 2020 Antwerp, Belgium.
View Book:- https://stm.bookpi.org/NRAMCS-V3/article/view/6808
No comments:
Post a Comment