Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay
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.
|Date of creation:||01 Mar 2001|
|Publication status:||Published as: Kuchler, U. and Platen, E., 2002, "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay", Mathematics and Computers in Simulation, 59(6), 497-507.|
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- 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 Kuchler & Eckhard Platen, 2000.
"Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay,"
Research Paper Series
44, Quantitative Finance Research Centre, University of Technology, Sydney.
- Küchler, Uwe & Platen, Eckhard, 2000. "Strong discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(1), pages 189-205.
- U. Küchler & E. Platen, 1999. "Strong discrete time approximation of Stochastic Differential Equations with Time Delay," SFB 373 Discussion Papers 1999,25, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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