Weak discrete time approximation of stochastic differential equations with time delay

DOI10.1016/S0378-4754(01)00431-1zbMath1001.65005OpenAlexW3086215856MaRDI QIDQ1614044

Uwe Küchler, Eckhard Platen

Publication date: 3 September 2002

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(01)00431-1

zbMATH Keywords

convergenceweak convergenceMonte Carlo simulationdiscrete time approximationstochastic differential equations with time delay

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Introduction to functional differential equations
• The lyapunov spectrum and stable manifolds for stochastic linear delay equations
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