Abstract and Applied Analysis

A Robust Weak Taylor Approximation Scheme for Solutions of Jump-Diffusion Stochastic Delay Differential Equations

Yanli Zhou, Yonghong Wu, Xiangyu Ge, and B. Wiwatanapataphee

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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.

Article information

Source
Abstr. Appl. Anal., Volume 2013, Special Issue (2012), Article ID 750147, 8 pages.

Dates
First available in Project Euclid: 26 February 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1393450274

Digital Object Identifier
doi:10.1155/2013/750147

Mathematical Reviews number (MathSciNet)
MR3049370

Zentralblatt MATH identifier
1275.65006

Citation

Zhou, Yanli; Wu, Yonghong; Ge, Xiangyu; Wiwatanapataphee, B. A Robust Weak Taylor Approximation Scheme for Solutions of Jump-Diffusion Stochastic Delay Differential Equations. Abstr. Appl. Anal. 2013, Special Issue (2012), Article ID 750147, 8 pages. doi:10.1155/2013/750147. https://projecteuclid.org/euclid.aaa/1393450274


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