Weak discrete time approximation of stochastic differential equations with time delay

The paper considers the derivation of weak discrete time approximations for solutions of stochastic differential equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for functionals of stochastic delay equations. The suggested approxirnations converge in a weak sense.

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Year of publication:	2001
Authors:	Küchler, Uwe ; Platen, Eckhard
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	simulation \| Stochastic differential equations with time delay \| discrete time approximation \| weak convergence

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Series:	SFB 373 Discussion Paper ; 2001,30
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	724884912 [GVK] hdl:10419/62680 [Handle] RePEc:zbw:sfb373:200130 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010310333