Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps

DOI10.1016/j.cam.2010.10.043zbMath1229.65030OpenAlexW2048834550WikidataQ112880402 ScholiaQ112880402MaRDI QIDQ534217

Wan-Kai Pang, Ping-Kei Leung, Qi-min Zhang

Publication date: 17 May 2011

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

Full work available at URL: https://doi.org/10.1016/j.cam.2010.10.043

zbMATH Keywords

numerical solutionEuler approximationPoisson jumpsstochastic age-dependent capital system

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• Stability of solution to a class of investment system
• Timing of investment under technological and revenue-related uncertainties
• Convergence of numerical solutions to neutral stochastic delay differential equations with Markovian switching
• Existence, uniqueness and exponential stability for stochastic age-dependent population
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Exponential stability of numerical solutions to SDDEs with Markovian switching
• Anticipation effects of technological progress on capital accumulation: a vintage capital approach

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