Buckwar, Evelyn; Shardlow, Tony - Sonderforschungsbereich 373, Quantifikation und … - 2001
A numerical method for a class of Itô stochastic differential equations with a finite delay term is introduced. The method is based on the forward Euler approximation and is parameterised by its time step. Weak convergence with respect to a class of smooth test functionals is established by...
