Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching

DOI10.1016/j.amc.2013.12.189zbMath1334.65018OpenAlexW2075825474MaRDI QIDQ272472

Yating Liu, Xining Li, Qi-min Zhang

Publication date: 20 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.12.189

zbMATH Keywords

Markovian switchinglocal Lipschitz conditionone-sided local Lipschitz conditionsplit-step backward Euler methodstochastic age-dependent capital system

Mathematics Subject Classification ID

Economic growth models (91B62) 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 (7)

A new convergence and positivity analysis of balanced Euler method for stochastic age‐dependent population equations ⋮ Dissipative control of Markovian jumping genetic regulatory networks with time-varying delays and reaction-diffusion driven by fractional Brownian motion ⋮ Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion ⋮ Convergence of numerical solutions for a class of stochastic age-dependent capital system with fractional Brownian motion ⋮ Construction of positivity preserving numerical method for stochastic age-dependent population equations ⋮ Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps ⋮ The positive numerical solution for stochastic age-dependent capital system based on explicit-implicit algorithm

Cites Work

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• Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps
• A note on strong solutions of stochastic differential equations with a discontinuous drift coeffi\-cient
• Strong solutions of stochastic equations with singular time dependent drift
• Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift
• Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion

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