Strong Convergence of the Split-Step -Method for Stochastic Age-Dependent Capital System with Random Jump Magnitudes

Jianguo Tan, A. Rathinasamy, Hongli Wang and Yongfeng Guo

Abstract and Applied Analysis, 2014, vol. 2014, 1-14

Abstract:

We develop a new split-step (SS ) method for stochastic age-dependent capital system with random jump magnitudes. The main aim of this paper is to investigate the convergence of the SS method for a class of stochastic age-dependent capital system with random jump magnitudes. It is proved that the proposed method is convergent with strong order 1/2 under given conditions. Finally, an example is simulated to verify the results obtained from theory.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:791048

DOI: 10.1155/2014/791048

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