Well-posedness and order preservation for neutral type stochastic differential equations of infinite delay with jumps

Abstract

In this work, we are concerned with the order preservation problem for multidimensional neutral type stochastic differential equations of infinite delay with jumps under non-Lipschitz conditions. By using a truncated Euler-Maruyama scheme and adopting an approximation argument, we have developed the well-posedness of solutions for a class of stochastic functional differential equations which allow the length of memory to be infinite, and the coefficients to be non-Lipschitz and even unbounded. Moreover, we have extended some existing conclusions on order preservation for stochastic systems to a more general case. A pair of examples have been constructed to demonstrate that the order preservation need not hold whenever the diffusion term contains a delay term, although the jump-diffusion coefficient could contain a delay term.

Keywords

• order preservation
• infinite memory
• neutral type stochastic differential equation
• jump