Convergence Of Solutions Of Mixed Stochastic Delay Differential Equations With Applications

The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a γ-Hölder continuous process with γ>1/2 (e.g. a fractional Brownian motion with Hurst parameter greater than 1/2). It is shown that its solution depends continuously on the coefficients and the initial data. Two applications of this result are given: the convergence of solutions to equations with vanishing delay to the solution of equation without delay and the convergence of Euler approximations for mixed stochastic differential equations. As a side result of independent interest, the integrability of solution to mixed stochastic delay differential equations is established.