Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay

Uwe Kuchler and Eckhard Platen ()

No 44, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: The paper introduces an approach for the derivation of discrete time approximations for solutions of stochastic differential equations 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)
Pages: 21 pages
Date: 2000-09-01
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Citations: View citations in EconPapers (16)

Published as: Kuchler, U. and Platen, E., 2000, "Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay", Mathematics and Computers in Simulation, 54(1-3), 189-205.

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Related works:
Journal Article: Strong discrete time approximation of stochastic differential equations with time delay (2000)
Working Paper: Strong discrete time approximation of Stochastic Differential Equations with Time Delay (1999)
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