Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps (Q534217): Difference between revisions
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| Property / review text | |||
This paper considers the strong convergence and stability properties of an implicit Euler scheme applied to a class of stochastic age-dependent capital systems with Poisson jumps. This theoretical analysis is supported by a simple numerical simulation. | |||
| Property / review text: This paper considers the strong convergence and stability properties of an implicit Euler scheme applied to a class of stochastic age-dependent capital systems with Poisson jumps. This theoretical analysis is supported by a simple numerical simulation. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Kevin Burrage / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H05 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H35 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5895468 / rank | |||
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| Property / zbMATH Keywords | |||
stochastic age-dependent capital system | |||
| Property / zbMATH Keywords: stochastic age-dependent capital system / rank | |||
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| Property / zbMATH Keywords | |||
Poisson jumps | |||
| Property / zbMATH Keywords: Poisson jumps / rank | |||
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| Property / zbMATH Keywords | |||
numerical solution | |||
| Property / zbMATH Keywords: numerical solution / rank | |||
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| Property / zbMATH Keywords | |||
Euler approximation | |||
| Property / zbMATH Keywords: Euler approximation / rank | |||
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Revision as of 08:37, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps |
scientific article |
Statements
Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps (English)
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17 May 2011
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This paper considers the strong convergence and stability properties of an implicit Euler scheme applied to a class of stochastic age-dependent capital systems with Poisson jumps. This theoretical analysis is supported by a simple numerical simulation.
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stochastic age-dependent capital system
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Poisson jumps
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numerical solution
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Euler approximation
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