Weak discrete time approximation of stochastic differential equations with time delay

Küchler, U; Platen, E

Weak discrete time approximation of stochastic differential equations with time delay

Küchler, U Platen, E

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Publication Type:: Journal Article
Citation:: Mathematics and Computers in Simulation, 2002, 59 (6), pp. 497 - 507
Issue Date:: 2002-07-01

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Field	Value	Language
dc.contributor.author	Küchler, U	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2002-07-01	en_US
dc.identifier.citation	Mathematics and Computers in Simulation, 2002, 59 (6), pp. 497 - 507	en_US
dc.identifier.issn	0378-4754	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3462
dc.description.abstract	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.	en_US
dc.relation.ispartof	Mathematics and Computers in Simulation	en_US
dc.relation.isbasedon	10.1016/S0378-4754(01)00431-1	en_US
dc.subject.classification	Numerical & Computational Mathematics	en_US
dc.title	Weak discrete time approximation of stochastic differential equations with time delay	en_US
dc.type	Journal Article
utslib.citation.volume	6	en_US
utslib.citation.volume	59	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	150201 Finance	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	02 Physical Sciences	en_US
utslib.for	08 Information and Computing Sciences	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	6	en_US
pubs.publication-status	Published	en_US
pubs.volume	59	en_US

Abstract:

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.

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http://hdl.handle.net/10453/3462