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.

This paper constructs strong discrete time approximations for pure jump processes that can be described by stochastic differential equations. Strong approximations based on jump-adapted time discretizations, which produce no discretization bias, are analyzed. The computational complexity of...

The paper introduces an approach for the derivation of discrete time approximations for solutions of stochastic differential equations with time delay. The suggested approximations converge in a strong sense. Furthermore, explicit solutions for linear stochastic delay equations are given.