Convergence of the semi-implicit Euler method for stochastic age-dependent population equations (Q2470153)

A stochastic age-dependent population equation of the form \[ \begin{cases} d_t P = \left [ -{\partial P\over \partial a} - \mu (a) P + f(P)\right ]\,dt +g(t, P)\,dW \\ P(0, a) = P_0(a) \\ P(t, 0) = \int_0^A \beta (t, a) P(t, a)\,da,\end{cases} \] \(0 \leq t \leq T,\) \(0\leq a \leq A,\) is considered. The main aim of this paper is to show the convergence of the semi-implicit Euler method for this equation. The semi-implicit approximate solution of this equation on \(t=0, \Delta t, 2 \Delta t, \ldots, N \Delta t\) is defined by the iterative scheme \[ \begin{multlined} Q_{n+1} = Q_n + (1- \theta) \Biggl[ -{\partial Q_{n+1} \over \partial a} - \mu (a) Q_n + f (Q_n) \Biggr] \Delta t \\ + \theta \Biggl[ -{\partial Q_{n+1} \over \partial a} - \mu (a) Q_{n+1} + f (Q_{n+1}) \Biggr] \Delta t + g(t, Q_n) \Delta W_n.\end{multlined} \] The authors prove that under some assumptions \(E [\sup_{0\leq t \leq T} |P_t - \Theta_t|^2] \leq C \Delta t,\) where \(C\) is a known constant that is \(\lim_{\Delta t \to 0} E [\sup_{0\leq t \leq T} |P_t - \Theta_t|^2 ] =0.\) They consider a stochastic age-dependent population equation of the form \[ \begin{cases} d_t P = \left [ -{\partial P\over \partial a} - {1 \over 1-a} P\right ]\,dt + \varphi (P)\,dB_t \\ P(0, a) = 1-a \\ P(t, 0) = 2\int_0^1 P(t, a)\,da,\end{cases} \] \(0 \leq t \leq 1,\) \(0\leq t \leq T,\) as an example.