A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations

DOI10.1155/2013/750147zbMath1275.65006OpenAlexW1984979246WikidataQ58917339 ScholiaQ58917339MaRDI QIDQ370186

Benchawan Wiwatanapataphee, Xiang-Yu Ge, Yong-Hong Wu, Yan-Li Zhou

Publication date: 19 September 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/750147

zbMATH Keywords

convergencenumerical examplesMonte Carlo simulationsinitial value problemmathematical financerobust Taylor approximation schemestochastic delay differential equations with jumps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Mean-square stability of the Euler–Maruyama method for stochastic differential delay equations with jumps
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