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

DOI10.1016/j.apnum.2021.02.015zbMath1475.65152OpenAlexW3130901882MaRDI QIDQ2029118

Anke Meyer-Baese, Yanyan Du, Qi-min Zhang

Publication date: 3 June 2021

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2021.02.015

zbMATH Keywords

positivity preservingstochastic age-dependent capital systempenalty factorexplicit-implicit algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Financial markets (91G15)

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