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Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump

✍ Scribed by Feng Jiang; Yi Shen; Lei Liu

Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 198 KB
Volume: 16
Category: Article
ISSN: 1007-5704
DOI: 10.1016/j.cnsns.2010.04.032

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✦ Synopsis

In this paper, we are concerned with the stochastic differential delay equations with Poisson jump (SDDEsPJ). As stochastic differential equations, most SDDEsPJ cannot be solved explicitly. Therefore, numerical solutions have become an important issue in the study of SDDEsPJ. The key contribution of this paper is to investigate the strong convergence between the true solutions and the numerical solutions to SDDEsPJ when the drift and diffusion coefficients are Taylor approximations.

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