Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62680
Authors: 
Küchler, Uwe
Platen, Eckhard
Year of Publication: 
2001
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,30
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

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