Weak discrete time approximation of stochastic differential equations with time delay

Uwe Küchler and Eckhard Platen ()

No 2001,30, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

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 approxirnations converge in a weak sense.

Keywords: simulation; Stochastic differential equations with time delay; discrete time approximation; weak convergence (search for similar items in EconPapers)
Date: 2001
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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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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:200130

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