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
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	simulation \| Stochastic differential equations with time delay \| discrete time approximation \| weak convergence

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2001,30
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983497