A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations (Q370186): Difference between revisions
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Property / author: Yan-Li Zhou / rank | |||
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Property / author: Yong-Hong Wu / rank | |||
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Property / author: Xiang-Yu Ge / rank | |||
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Property / author: Benchawan Wiwatanapataphee / rank | |||
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Property / author: Benchawan Wiwatanapataphee / rank | |||
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Property / author | |||
Property / author: Yan-Li Zhou / rank | |||
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Property / author: Yong-Hong Wu / rank | |||
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Property / author: Xiang-Yu Ge / rank | |||
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Summary: 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. | |||
Property / review text: Summary: 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. / rank | |||
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Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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Property / Mathematics Subject Classification ID: 34K28 / rank | |||
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Property / Mathematics Subject Classification ID: 34K50 / rank | |||
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Property / Mathematics Subject Classification ID: 65L20 / rank | |||
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Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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Property / zbMATH DE Number: 6209428 / rank | |||
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Property / zbMATH Keywords | |||
stochastic delay differential equations with jumps | |||
Property / zbMATH Keywords: stochastic delay differential equations with jumps / rank | |||
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mathematical finance | |||
Property / zbMATH Keywords: mathematical finance / rank | |||
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initial value problem | |||
Property / zbMATH Keywords: initial value problem / rank | |||
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robust Taylor approximation scheme | |||
Property / zbMATH Keywords: robust Taylor approximation scheme / rank | |||
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convergence | |||
Property / zbMATH Keywords: convergence / rank | |||
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numerical examples | |||
Property / zbMATH Keywords: numerical examples / rank | |||
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Monte Carlo simulations | |||
Property / zbMATH Keywords: Monte Carlo simulations / rank | |||
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Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / Wikidata QID | |||
Property / Wikidata QID: Q58917339 / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1155/2013/750147 / rank | |||
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Property / OpenAlex ID: W1984979246 / rank | |||
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Property / cites work | |||
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Latest revision as of 22:05, 6 July 2024
scientific article
Language | Label | Description | Also known as |
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English | A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations |
scientific article |
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A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations (English)
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19 September 2013
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Summary: 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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stochastic delay differential equations with jumps
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mathematical finance
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initial value problem
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robust Taylor approximation scheme
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convergence
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numerical examples
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Monte Carlo simulations
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