Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion

DOI10.1186/s13662-018-1828-zzbMath1448.65011OpenAlexW2896023760MaRDI QIDQ1713802

Ting Kang, Qi-min Zhang

Publication date: 30 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1828-z

zbMATH Keywords

strong convergencefractional Brownian motionPoisson jumpsstochastic age-dependent capital systemsplit-step \(\theta\)-method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

The positive numerical solution for stochastic age-dependent capital system based on explicit-implicit algorithm

Cites Work

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