Strong discrete time approximation of stochastic differential equations with time delay

Authors
Kuchler, U Platen, E
Citation
U. Kuchler et E. Platen, Strong discrete time approximation of stochastic differential equations with time delay, MATH COMP S, 54(1-3), 2000, pp. 189-205
Citations number
17
Categorie Soggetti
Engineering Mathematics
Journal title
MATHEMATICS AND COMPUTERS IN SIMULATION
ISSN journal
03784754 → ACNP
Volume
54
Issue
1-3
Year of publication
2000
Pages
189 - 205
Database
ISI
SICI code
0378-4754(20001130)54:1-3<189:SDTAOS>2.0.ZU;2-N
Abstract
The paper introduces an approach for the derivation of discrete time approx imations for solutions of stochastic differential equations (SDEs) with tim e delay. The suggested approximations converge in a strong sense. Furthermo re, explicit solutions for linear stochastic delay equations are given. (C) 2000 IMACS. Published by Elsevier Science B.V. All rights reserved.