Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay

The paper introduces an approach for the derivation of discrete time approximations for solutions of stochastic differential equations with time delay. The suggested approximations converge in a strong sense. Furthermore, explicit solutions for linear stochastic delay equations are given.

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Year of publication:	2000-09-01
Authors:	Kuchler, Uwe ; Platen, Eckhard
Institutions:	Finance Discipline Group, Business School
Subject:	stochastic differential equations with time delay \| discrete time approximation \| strong convergence \| simulation

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 44
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005041740