Weak discrete time approximation of stochastic differential equations with time delay

Uwe Küchler and Eckhard Platen ()

Mathematics and Computers in Simulation (MATCOM), 2002, vol. 59, issue 6, 497-507

Abstract: This 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)
Date: 2002
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:59:y:2002:i:6:p:497-507

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