Recently Mao et al. [18] established a number of useful stability criteria in terms of M-matrices for nonlinear stochastic differential delay equations with Markovian switching, and the criteria there are independent of time delay. Such criteria are in general good for large delay but might not be good enough for small delay. When the time lag is sufficiently small, it is useful to obtain delay...

Building on results obtained in [ 21 ], we prove Local Stable and Unstable Manifold Theorems for nonlinear, singular stochastic delay differential equations. The main tools are rough paths theory a semi-invertible Multiplicative Ergodic Theorem cocycles acting measurable fields of Banach spaces 20 ].

In this paper the numerical approximation of solutions of Itô stochastic delay differential equations is considered. We construct stochastic linear multi-step Maruyama methods and develop the fundamental numerical analysis concerning their Lp-consistency, numerical Lp-stability and Lpconvergence. For the special case of two-step Maruyama schemes we derive conditions guaranteeing their mean-squa...

We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial information in infinite horizon are derived. We illustrate our results by an application to a problem of optimal consumption with respect to recursive utility from a cash fl...

Since Pardoux and Peng firstly studied the following nonlinear backward stochastic differential equations in 1990. The theory of BSDE has been widely studied and applied, especially in the stochastic control, stochastic differential games, financial mathematics and partial differential equations. In 1994, Pardoux and Peng came up with backward doubly stochastic differential equations to give th...