Advanced Search
MyIDEAS: Login

Weak approximation of stochastic differential delay equations

Contents:

Author Info

  • Buckwar, Evelyn
  • Shardlow, Tony
Registered author(s):

    Abstract

    A numerical method for a class of Itô stochastic differential equations with a finite delay term is introduced. The method is based on the forward Euler approximation and is parameterised by its time step. Weak convergence with respect to a class of smooth test functionals is established by using the infinite dimensional version of the Kolmogorov equation. With regularity assumptions on coefficients and initial data, the rate of convergence is shown to be proportional to the time step. Some computations are presented to demonstrate the rate of convergence. --

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://econstor.eu/bitstream/10419/62718/1/725952385.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2001,88.

    as in new window
    Length:
    Date of creation: 2001
    Date of revision:
    Handle: RePEc:zbw:sfb373:200188

    Contact details of provider:
    Postal: Spandauer Str. 1,10178 Berlin
    Phone: +49-30-2093-5708
    Fax: +49-30-2093-5617
    Email:
    Web page: http://www.wiwi.hu-berlin.de/
    More information through EDIRC

    Related research

    Keywords: Stochastic delay equations; Theoretical approximation of solutions; Stochastic partial differential equations; Stability and convergence of numerical approximations;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:zbw:sfb373:200188. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.