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

    193307_97595_Absract-Applied_Analys-750147.pdf (1.313Mb)
    Access Status
    Open access
    Authors
    Zhou, Y.
    Wu, Yong Hong
    Ge, X.
    Wiwatanapataphee, Benchawan
    Date
    2013
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Zhou, Yanli and Wu, Yonghong and Ge, Xiangyu and Wiwatanapataphee, B. 2013. A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations. Abstract and Applied Analysis. 2013 (750147): pp. 1-8.
    Source Title
    Abstract and Applied Analysis
    DOI
    10.1155/2013/750147
    ISSN
    1085-3375
    Remarks

    This article is published under the Open Access publishing model and distributed under the terms of the Creative Commons Attribution License http://creativecommons.org/licenses/by/3.0/. Please refer to the licence to obtain terms for any further reuse or distribution of this work.

    URI
    http://hdl.handle.net/20.500.11937/35155
    Collection
    • Curtin Research Publications
    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.

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