Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps (Q534217)
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scientific article; zbMATH DE number 5895468
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps |
scientific article; zbMATH DE number 5895468 |
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Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps (English)
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17 May 2011
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This paper considers the strong convergence and stability properties of an implicit Euler scheme applied to a class of stochastic age-dependent capital systems with Poisson jumps. This theoretical analysis is supported by a simple numerical simulation.
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stochastic age-dependent capital system
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Poisson jumps
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numerical solution
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Euler approximation
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