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  • Search: subject:"stochastic differential equations with time delay"
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Year of publication
Subject
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Stochastic differential equations with time delay 4 discrete time approximation 4 simulation 4 weak convergence 3 Discrete time approximation 2 Simulation 2 stochastic differential equations with time delay 2 Strong convergence 1 Weak convergence 1 strong convergence 1
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Online availability
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Free 4 Undetermined 2
Type of publication
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Book / Working Paper 4 Article 2
Type of publication (narrower categories)
All
Working Paper 1
Language
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Undetermined 5 English 1
Author
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Platen, Eckhard 6 Küchler, Uwe 4 Kuchler, Uwe 2
Institution
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Finance Discipline Group, Business School 2 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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Mathematics and Computers in Simulation (MATCOM) 2 Research Paper Series / Finance Discipline Group, Business School 2 SFB 373 Discussion Paper 1 SFB 373 Discussion Papers 1
Source
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RePEc 5 EconStor 1
Showing 1 - 6 of 6
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Weak discrete time approximation of stochastic differential equations with time delay
Küchler, Uwe; Platen, Eckhard - 2001
equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for …The paper considers the derivation of weak discrete time approximations for solutions of stochastic differential …
Persistent link: https://www.econbiz.de/10010310333
Saved in:
Cover Image
Weak discrete time approximation of stochastic differential equations with time delay
Küchler, Uwe; Platen, Eckhard - Sonderforschungsbereich 373, Quantifikation und … - 2001
equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for …The paper considers the derivation of weak discrete time approximations for solutions of stochastic differential …
Persistent link: https://www.econbiz.de/10010983497
Saved in:
Cover Image
Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay
Kuchler, Uwe; Platen, Eckhard - Finance Discipline Group, Business School - 2001
equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for …The paper considers the derivation of weak discrete time approximations for solutions of stochastic differential …
Persistent link: https://www.econbiz.de/10004984586
Saved in:
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Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay
Kuchler, Uwe; Platen, Eckhard - Finance Discipline Group, Business School - 2000
differential equations with time delay. The suggested approximations converge in a strong sense. Furthermore, explicit solutions …The paper introduces an approach for the derivation of discrete time approximations for solutions of stochastic …
Persistent link: https://www.econbiz.de/10005041740
Saved in:
Cover Image
Weak discrete time approximation of stochastic differential equations with time delay
Küchler, Uwe; Platen, Eckhard - In: Mathematics and Computers in Simulation (MATCOM) 59 (2002) 6, pp. 497-507
equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for …This paper considers the derivation of weak discrete time approximations for solutions of stochastic differential …
Persistent link: https://www.econbiz.de/10011050988
Saved in:
Cover Image
Strong discrete time approximation of stochastic differential equations with time delay
Küchler, Uwe; Platen, Eckhard - In: Mathematics and Computers in Simulation (MATCOM) 54 (2000) 1, pp. 189-205
The paper introduces an approach for the derivation of discrete time approximations for solutions of stochastic differential equations (SDEs) with time delay. The suggested approximations converge in a strong sense. Furthermore, explicit solutions for linear stochastic delay equations are given.
Persistent link: https://www.econbiz.de/10011050382
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