Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay

Uwe Kuchler and Eckhard Platen ()

No 50, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: 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.

Keywords: stochastic differential equations with time delay; discrete time approximation; weak convergence; simulation (search for similar items in EconPapers)
Pages: 15 pages
Date: 2001-03-01
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Citations: View citations in EconPapers (1)

Published as: Kuchler, U. and Platen, E., 2002, "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay", Mathematics and Computers in Simulation, 59(6), 497-507.

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Related works:
Journal Article: Weak discrete time approximation of stochastic differential equations with time delay (2002)
Working Paper: Weak discrete time approximation of stochastic differential equations with time delay (2001)
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