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Weak convergence of functional stochastic differential equations with variable delays

Author

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  • Tan, Li
  • Jin, Wei
  • Hou, Zhenting

Abstract

This paper is concerned with the weak convergence of functional stochastic differential equations with variable delays driven by Wiener processes and jump processes, respectively. Moreover, an example is established to demonstrate the theory derived.

Suggested Citation

  • Tan, Li & Jin, Wei & Hou, Zhenting, 2013. "Weak convergence of functional stochastic differential equations with variable delays," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2592-2599.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:11:p:2592-2599
    DOI: 10.1016/j.spl.2013.07.016
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    References listed on IDEAS

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    1. Kunita, Hiroshi, 2010. "Itô's stochastic calculus: Its surprising power for applications," Stochastic Processes and their Applications, Elsevier, vol. 120(5), pages 622-652, May.
    2. Yuan, Chenggui & Mao, Xuerong, 2003. "Asymptotic stability in distribution of stochastic differential equations with Markovian switching," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 277-291, February.
    3. Bao, Jianhai & Hou, Zhenting & Yuan, Chenggui, 2009. "Stability in distribution of neutral stochastic differential delay equations with Markovian switching," Statistics & Probability Letters, Elsevier, vol. 79(15), pages 1663-1673, August.
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    Cited by:

    1. Tan, Li & Jin, Wei & Suo, Yongqiang, 2015. "Stability in distribution of neutral stochastic functional differential equations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 27-36.

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