3 papers
math.NA2021
Logarithmic Euler Maruyama Scheme for Multi Dimensional Stochastic Delay Differential Equation
Nishant Agrawal, Yaozhong Hu
In this paper, we extend the logarithmic Euler-Maruyama scheme for stochastic delay differential equation in one dimension to the part where we propose a scheme for a system of sto…
q-fin.MF2020
Jump Models with delay -- option pricing and logarithmic Euler-Maruyama scheme
Nishant Agrawal, Yaozhong Hu
In this paper, we obtain the existence, uniqueness and positivity of the solution to delayed stochastic differential equations with jumps. This equation is then applied to model th…
math.PR2019
Product Formula of Multiple Integrals of Levy Process
Nishant Agrawal, Yaozhong Hu, Neha Sharma
We derive a product formula for the multiple stochastic integrals with respect to Levy process. The idea is to use exponential vectors and the polarization technique which greatly…