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...
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th-mahidol.320212018-10-19T12:09:35Z A robust weak taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations Yanli Zhou Yonghong Wu Xiangyu Ge B. Wiwatanapataphee Curtin University Zhongnan University of EcoNomics and Law Mahidol University Mathematics 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. 2018-10-19T05:09:35Z 2018-10-19T05:09:35Z 2013-05-27 Article Abstract and Applied Analysis. Vol.2013, (2013) 10.1155/2013/750147 16870409 10853375 2-s2.0-84877991830 https://repository.li.mahidol.ac.th/handle/123456789/32021 Mahidol University SCOPUS https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84877991830&origin=inward |
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Mathematics Yanli Zhou Yonghong Wu Xiangyu Ge B. Wiwatanapataphee A robust weak taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
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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. |
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Curtin University |
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Curtin University Yanli Zhou Yonghong Wu Xiangyu Ge B. Wiwatanapataphee |
| format |
Article |
| author |
Yanli Zhou Yonghong Wu Xiangyu Ge B. Wiwatanapataphee |
| author_sort |
Yanli Zhou |
| title |
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_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_sort |
robust weak taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
| publishDate |
2018 |
| url |
https://repository.li.mahidol.ac.th/handle/123456789/32021 |
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1763492345966231552 |