A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
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...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Hindawi Publishing Corporation
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/35155 |
| _version_ | 1848754419068305408 |
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| author | Zhou, Y. Wu, Yong Hong Ge, X. Wiwatanapataphee, Benchawan |
| author_facet | Zhou, Y. Wu, Yong Hong Ge, X. Wiwatanapataphee, Benchawan |
| author_sort | Zhou, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T08:40:06Z |
| format | Journal Article |
| id | curtin-20.500.11937-35155 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:40:06Z |
| publishDate | 2013 |
| publisher | Hindawi Publishing Corporation |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-351552017-09-13T16:07:33Z A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations Zhou, Y. Wu, Yong Hong Ge, X. Wiwatanapataphee, Benchawan 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 Journal Article http://hdl.handle.net/20.500.11937/35155 10.1155/2013/750147 Hindawi Publishing Corporation fulltext |
| spellingShingle | Zhou, Y. Wu, Yong Hong Ge, X. Wiwatanapataphee, Benchawan A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
| title | A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
| title_full | A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
| title_fullStr | A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
| title_full_unstemmed | A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
| title_short | A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
| title_sort | robust weak taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
| url | http://hdl.handle.net/20.500.11937/35155 |