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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...
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stability definitions considered herein and show that an inequality of Halanay type (derivable via comparison theory)j and … theory for numerical solutions (solutions of Euler type) is considered. A convergence result is recalled for completeness and …
Persistent link: https://www.econbiz.de/10009617952
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