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Tan, Jianguo; Rathinasamy, A.; Wang, Hongli; Guo, Yongfeng

Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with random jump magnitudes. (English) Zbl 1474.65403

Abstr. Appl. Anal. 2014, Article ID 791048, 14 p. (2014).
Summary: We develop a new split-step \(\theta\) (SS\(\theta\)) method for stochastic age-dependent capital system with random jump magnitudes. The main aim of this paper is to investigate the convergence of the SS\(\theta\) method for a class of stochastic age-dependent capital system with random jump magnitudes. It is proved that the proposed method is convergent with strong order 1/2 under given conditions. Finally, an example is simulated to verify the results obtained from theory.

MSC:

65M75 Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs
35R60 PDEs with randomness, stochastic partial differential equations
60J76 Jump processes on general state spaces
91-10 Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance
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\textit{J. Tan} et al., Abstr. Appl. Anal. 2014, Article ID 791048, 14 p. (2014; Zbl 1474.65403)
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