Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with random jump magnitudes (Q1724972)

Summary: We develop a new split-step \(\theta\) (SS\(\theta\)) 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\(\theta\) 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.