Arbeitspapier
Weak approximation of stochastic differential delay equations
A numerical method for a class of Itô stochastic differential equations with a finite delay term is introduced. The method is based on the forward Euler approximation and is parameterised by its time step. Weak convergence with respect to a class of smooth test functionals is established by using the infinite dimensional version of the Kolmogorov equation. With regularity assumptions on coefficients and initial data, the rate of convergence is shown to be proportional to the time step. Some computations are presented to demonstrate the rate of convergence.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2001,88
- Klassifikation
-
Wirtschaft
- Thema
-
Stochastic delay equations
Theoretical approximation of solutions
Stochastic partial differential equations
Stability and convergence of numerical approximations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Buckwar, Evelyn
Shardlow, Tony
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2001
- Handle
- URN
-
urn:nbn:de:kobv:11-10050657
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Buckwar, Evelyn
- Shardlow, Tony
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2001
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