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 approximations converge in a weak sense.

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Year of publication:	2001-03-01
Authors:	Kuchler, Uwe ; Platen, Eckhard
Institutions:	Finance Discipline Group, Business School
Subject:	stochastic differential equations with time delay \| discrete time approximation \| weak convergence \| simulation

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 50
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984586