Weak discrete time approximation of stochastic differential equations with time delay

Mathematics and Computers in Simulation

Volumn 59, Issue 6, 2002, Pages 497-507

  Küchler, Uwe ^a   Platen, Eckhard ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Discrete time approximation; Simulation; Stochastic differential equations with time delay; Weak convergence

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; MONTE CARLO METHODS; RANDOM PROCESSES;

DISCRETE TIME APPROXIMATIONS; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS;

EID: 0036644677     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4754(01)00431-1     Document Type: Article

References (15)

1. Stochastic functional differential equations
2. Lyapunov exponents and stochastic flows of linear and affine hereditary systems
3. Stochastic differential equations and applications
4. Lyapunov exponents and stationary solutions for affine stochastic delay equations
5. On approximation of solutions for stochastic delay equations
6. Approximation of delay stochastic equations with constant retardation by usual Itô equations
7. Strong discrete time approximation of stochastic differential equations with time delay
8. Numerical solution of stochastic differential equations
9. An introduction to numerical methods for stochastic differential equations