Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay
AbstractThe 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.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 50.
Date of creation: 01 Mar 2001
Date of revision:
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stochastic differential equations with time delay; discrete time approximation; weak convergence; simulation;
Other versions of this item:
- Küchler, Uwe & Platen, Eckhard, 2001. "Weak discrete time approximation of stochastic differential equations with time delay," SFB 373 Discussion Papers 2001,30, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
- Uwe K?chler & Eckhard Platen, 2007. "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series 195, Quantitative Finance Research Centre, University of Technology, Sydney.
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