Abstract
In this paper, we discuss a mulit dimensional stochastic differential equation model where the underlying stochastic process is a jump-diffusion process. The stochastic differential equation is represented as a Partial Integro Differential Equation(PIDE) using the Fokker Planck equation. The solution of the PIDE is obtained by the method of finite differences. The consistency, the convergence of the solution and the stability of the finite difference scheme are discussed.
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