A Robust Weak Taylor Approximation Scheme for Solutions of Jump-Diffusion Stochastic Delay Differential Equations
Joint Authors
Wiwatanapataphee, Benchawan
Wu, Yong Hong
Zhou, Yanli
Ge, Xiangyu
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-04-24
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
Stochastic delay differential equations with jumps have a wide range of applications, particularly, in mathematical finance.
Solution of the underlying initial value problems is important for the understanding and control of many phenomena and systems in the real world.
In this paper, we construct a robust Taylor approximation scheme and then examine the convergence of the method in a weak sense.
A convergence theorem for the scheme is established and proved.
Our analysis and numerical examples show that the proposed scheme of high order is effective and efficient for Monte Carlo simulations for jump-diffusion stochastic delay differential equations.
American Psychological Association (APA)
Zhou, Yanli& Wu, Yong Hong& Ge, Xiangyu& Wiwatanapataphee, Benchawan. 2013. A Robust Weak Taylor Approximation Scheme for Solutions of Jump-Diffusion Stochastic Delay Differential Equations. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-495733
Modern Language Association (MLA)
Zhou, Yanli…[et al.]. A Robust Weak Taylor Approximation Scheme for Solutions of Jump-Diffusion Stochastic Delay Differential Equations. Abstract and Applied Analysis No. 2013 (2013), pp.1-8.
https://search.emarefa.net/detail/BIM-495733
American Medical Association (AMA)
Zhou, Yanli& Wu, Yong Hong& Ge, Xiangyu& Wiwatanapataphee, Benchawan. A Robust Weak Taylor Approximation Scheme for Solutions of Jump-Diffusion Stochastic Delay Differential Equations. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-8.
https://search.emarefa.net/detail/BIM-495733
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-495733