Weak convergence of delay SDEs with applications to Carathéodory approximation

In this paper, we consider a fundamental class of stochastic differential equations with time delays. Our aim is to investigate the weak convergence with respect to delay parameter of the solutions. Based on the techniques of Malliavin calculus, we obtain an explicit estimate for the rate of convergence. An application to the Caratheodory approximation scheme of stochastic differential equations is provided as well.