Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with poisson jumps

Ting Kang, Qiang Li and Qimin Zhang

Applied Mathematics and Computation, 2019, vol. 353, issue C, 166-177

Abstract: The aim of this paper is to construct a numerical method to preserve positivity and mean-square dissipativity of stochastic age-dependent capital system with Poisson jumps. We use the balanced implicit numerical techniques to maintain the nonnegative path of the exact solution. It is proved that the balanced implicit method(BIM) preserves positivity and converges with order 12 under given conditions. In addition, some sufficient conditions are obtained for ensuring the system and the balanced implicit method(BIM) are mean-square dissipative. Finally, a numerical example is simulated to illustrate the efficiency of theoretical results.

Keywords: Stochastic age-dependent capital system; Poisson jumps; Positivity preserving; Convergence; Mean-square dissipativity (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:353:y:2019:i:c:p:166-177

DOI: 10.1016/j.amc.2018.10.054

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