Publication:
A robust weak taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations

Issued Date

2013-05-27

Resource Type

Article

ISSN

16870409
10853375

DOI

10.1155/2013/750147

Other identifier(s)

2-s2.0-84877991830

Rights

Mahidol University

Rights Holder(s)

SCOPUS

Bibliographic Citation

Abstract and Applied Analysis. Vol.2013, (2013)

Suggested Citation

Yanli Zhou, Yonghong Wu, Xiangyu Ge, B. Wiwatanapataphee A robust weak taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations. Abstract and Applied Analysis. Vol.2013, (2013). doi:10.1155/2013/750147 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/32021

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Title

A robust weak taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations

Author(s)

Yanli Zhou
 Yonghong Wu
 Xiangyu Ge
 B. Wiwatanapataphee

Other Contributor(s)

Curtin University
 Zhongnan University of EcoNomics and Law
 Mahidol University

Abstract

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. © 2013 Yanli Zhou et al.

Keyword(s)

Mathematics

Availability

URI

https://repository.li.mahidol.ac.th/handle/123456789/32021

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