Approximations of random periodic solutions for path‐dependent stochastic differential equations with finite/infinite delay

Abstract

The aim of this work is to show the numerical approximation of random periodic solutions for path‐dependent stochastic differential equations with a finite and an infinite delay, in which the drifts are only dissipative on average with respect to the time parameter. The key findings are as follows: (i) by using a combination of synchronous coupling approaches and continuous‐time Euler–Maruyama schemes, we study the existence and uniqueness of numerical random periodic solutions to path‐dependent stochastic differential equations on an infinite time horizon; (ii) by introducing a new technical method, we investigate the strong convergence in the mean‐square sense of a numerical approximation to path‐dependent stochastic differential equations in the case of an infinite time horizon; (iii) to the best of our knowledge, our result is the first one upon numerical approximations of random periodic solutions for path‐dependent stochastic differential equations (SDEs) with infinite delay. We expect that our approximated method can be extended to a more general structure.