Weak approximation of stochastic differential delay equations

DOI10.1093/imanum/drh012zbMath1076.65010OpenAlexW2056822798MaRDI QIDQ4659905

Evelyn Buckwar, Tony Shardlow

Publication date: 21 March 2005

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4297

zbMATH Keywords

weak convergenceMonte Carlo simulationdiscrete time approximationstochastic differential equations with time delayforward Euler approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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