Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,30
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 approxirnations converge in a weak sense.
simulation Stochastic differential equations with time delay discrete time approximation weak convergence