A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
DOI10.1155/2013/750147zbMath1275.65006WikidataQ58917339 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
convergence; numerical examples; Monte Carlo simulations; initial value problem; mathematical finance; robust Taylor approximation scheme; stochastic delay differential equations with jumps
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
34K50: Stochastic functional-differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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