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

作者：Zhou, Yanli^*; Wu, Yonghong; Ge, Xiangyu; Wiwatanapataphee, B.

来源：Abstract and Applied Analysis, 2013, 2013: 750147.

DOI：10.1155/2013/750147

• POISSON JUMP
• STABILITY

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.

• 出版日期2013
• 单位中南财经政法大学