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

Cites Work

• Mean-square stability of semi-implicit Euler method for nonlinear neutral stochastic delay differential equations
• Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
• A survey of numerical methods for stochastic differential equations
• Numerical solution of stochastic differential equations with jumps in finance
• The split-step backward Euler method for linear stochastic delay differential equations
• Comparison principle and stability of Itô stochastic differential delay equations with Poisson jump and Markovian switching
• Stability of stochasticθ-methods for stochastic delay integro-differential equations
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• Mean-square stability of the Euler–Maruyama method for stochastic differential delay equations with jumps
• The lyapunov spectrum and stable manifolds for stochastic linear delay equations
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