Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/62680 
Year of Publication: 
2001
Series/Report no.: 
SFB 373 Discussion Paper No. 2001,30
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
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.
Subjects: 
simulation
Stochastic differential equations with time delay
discrete time approximation
weak convergence
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
208.96 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.