Strong discrete time approximation of stochastic differential equations with time delay
Strong discrete time approximation of stochastic differential equations with time delay
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DOI：
10.1016/s0378-4754(00)00224-x
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发表时间：
2000-11
影响因子：
4.6
通讯作者：
U. Küchler;E. Platen
中科院分区：
文献类型：
--
作者：
U. Küchler;E. Platen
本文介绍了一种方法的推导离散时间近似的解的随机微分方程（SDEs）的时间延迟。所建议的近似在强意义上收敛。此外，还给出了线性随机延迟方程的显式解。
The paper introduces an approach for the derivation of discrete time approximations for solutions of stochastic differential equations (SDEs) with time delay. The suggested approximations converge in a strong sense. Furthermore, explicit solutions for linear stochastic delay equations are given.