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

Author

Listed:
  • Jianguo Tan
  • A. Rathinasamy
  • Hongli Wang
  • Yongfeng Guo

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.

Suggested Citation

  • Jianguo Tan & A. Rathinasamy & Hongli Wang & Yongfeng Guo, 2014. "Strong Convergence of the Split-Step -Method for Stochastic Age-Dependent Capital System with Random Jump Magnitudes," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-14, April.
    • Handle: RePEc:hin:jnlaaa:791048
    DOI: 10.1155/2014/791048
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