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math.PR2013
Strong Convergence of Euler Approximations of Stochastic Differential Equations with Delay under Local Lipschitz Condition
Chaman Kumar, Sotirios Sabanis
The strong convergence of Euler approximations of stochastic delay differential equations is proved under general conditions. The assumptions on drift and diffusion coefficients ha…
math.PR2012
A note on Euler approximations for stochastic differential equations with delay
Istvan Gyöngy, Sotirios Sabanis
An existence and uniqueness theorem for a class of stochastic delay differential equations is presented, and the convergence of Euler approximations for these equations is proved u…
math.PR2008
Necessary and sufficient conditions for the existence of the q-optimal measure
Sotirios Sabanis
This paper presents the general form and essential properties of the q-optimal measure following the approach of Delbaen and Schachermayer (1996) and proves its existence under mil…