Strong discrete time approximation of stochastic differential equations with time delay

Uwe Küchler and Eckhard Platen ()

Mathematics and Computers in Simulation (MATCOM), 2000, vol. 54, issue 1, 189-205

Abstract: 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.

Keywords: Stochastic differential equations with time delay; Discrete time approximation; Strong convergence; Simulation (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:54:y:2000:i:1:p:189-205

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