Abstract and Applied Analysis

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

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Abstract

We develop a new split-step θ (SS θ ) 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 θ 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.

Article information

Source
Abstr. Appl. Anal., Volume 2014, Special Issue (2014), Article ID 791048, 14 pages.

Dates
First available in Project Euclid: 3 October 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1412361166

Digital Object Identifier
doi:10.1155/2014/791048

Mathematical Reviews number (MathSciNet)
MR3198249

Zentralblatt MATH identifier
07023073

Citation

Tan, Jianguo; Rathinasamy, A.; Wang, Hongli; Guo, Yongfeng. Strong Convergence of the Split-Step $\theta $ -Method for Stochastic Age-Dependent Capital System with Random Jump Magnitudes. Abstr. Appl. Anal. 2014, Special Issue (2014), Article ID 791048, 14 pages. doi:10.1155/2014/791048. https://projecteuclid.org/euclid.aaa/1412361166


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