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Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay

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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 approximations converge in a weak sense.

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File URL: http://www.business.uts.edu.au/qfrc/research/research_papers/rp50.pdf
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Bibliographic Info

Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 50.

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Date of creation: 01 Mar 2001
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Handle: RePEc:uts:rpaper:50

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Related research

Keywords: stochastic differential equations with time delay; discrete time approximation; weak convergence; simulation;

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References

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  1. Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
  1. Ghassan Dibeh & Haidar Harmanani, 2012. "A Stochastic Chartist–Fundamentalist Model with Time Delays," Computational Economics, Society for Computational Economics, vol. 40(2), pages 105-113, August.
  2. Uwe Küchler & 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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