Weak discrete time approximation of stochastic differential equations with time delay

This 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 approximations converge in a weak sense.

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Year of publication:	2002
Authors:	Küchler, Uwe ; Platen, Eckhard
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 59.2002, 6, p. 497-507
Publisher:	Elsevier
Subject:	Stochastic differential equations with time delay \| Discrete time approximation \| Weak convergence \| Simulation

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

Persistent link: https://www.econbiz.de/10011050988