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dc.contributor.authorZhou, Y.
dc.contributor.authorWu, Yong Hong
dc.contributor.authorGe, X.
dc.contributor.authorWiwatanapataphee, Benchawan
dc.date.accessioned2017-01-30T13:48:02Z
dc.date.available2017-01-30T13:48:02Z
dc.date.created2013-11-06T20:00:25Z
dc.date.issued2013
dc.identifier.citationZhou, 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.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/35155
dc.identifier.doi10.1155/2013/750147
dc.description.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.

dc.publisherHindawi Publishing Corporation
dc.titleA robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
dc.typeJournal Article
dcterms.source.volume2013
dcterms.source.startPage750147
dcterms.source.endPage750147
dcterms.source.issn1085-3375
dcterms.source.titleAbstract and Applied Analysis
curtin.note

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.

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curtin.accessStatusOpen access


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