The paper gives a short survey on weak schemes for stochastic differential equations and discusses several implicit and predictor-corrector type methods.

The paper presents results of simulation studies carried out with several time discrete simulation algorithms for diffusion processes with regard to the mean square and the mean convergence criterion.

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.

Monte Carlo simulation of weak approximations of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve “real time” execution, as often required, one needs highly efficient implementations of the multi-point...

This paper considers the derivation of weak discrete time approximations for solutions of stochastic differential equations with time delay. These are suitable for Monte Carlo simulation and allow the computation of expectations for functionals of stochastic delay equations. The suggested...