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• W2000262354 abstract "Abstract We study weak convergence of an Euler scheme for nonlinear stochastic delay differential equations (SDDEs) driven by multidimensional Brownian motion. The Euler scheme has weak order of convergence 1, as in the case of stochastic ordinary differential equations (SODEs) (i.e., without delay). The result holds for SDDEs with multiple finite fixed delays in the drift and diffusion terms. Although the set-up is non-anticipating , our approach uses the Malliavin calculus and the anticipating stochastic analysis techniques of Nualart and Pardoux." @default.
• W2000262354 created "2016-06-24" @default.
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• W2000262354 date "2008-01-01" @default.
• W2000262354 modified "2023-09-23" @default.
• W2000262354 title "Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations" @default.
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• W2000262354 doi "https://doi.org/10.1112/s146115700000053x" @default.
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