Weak discrete time approximation of stochastic differential equations with time delay
- Publication Type:
- Journal Article
- Mathematics and Computers in Simulation, 2002, 59 (6), pp. 497 - 507
- Issue Date:
This 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. © 2002 IMACS. Published by Elsevier Science B.V. All rights reserved.
Please use this identifier to cite or link to this item: