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 (SDEs) 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
Authors:	Küchler, Uwe ; Platen, Eckhard
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 54.2000, 1, p. 189-205
Publisher:	Elsevier
Subject:	Stochastic differential equations with time delay \| Discrete time approximation \| Strong convergence \| Simulation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011050382