Strong Convergence of the Split‐Step θ‐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, issue 1

Abstract: We develop a new split‐step θ (SSθ) method for stochastic age‐dependent capital system with random jump magnitudes. The main aim of this paper is to investigate the convergence of the SSθ 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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https://doi.org/10.1155/2014/791048

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:791048

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