Weak approximation of stochastic differential delay equations
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Publication:4659905
DOI10.1093/imanum/drh012zbMath1076.65010OpenAlexW2056822798MaRDI QIDQ4659905
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
weak convergenceMonte Carlo simulationdiscrete time approximationstochastic differential equations with time delayforward Euler approximation
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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