Strong convergence of the split-step -method for stochastic age-dependent capital system with random jump magnitudes

DOI10.1155/2014/791048zbMATH Open1474.65403OpenAlexW2030767800WikidataQ59041482 ScholiaQ59041482MaRDI QIDQ1724972FDOQ1724972

Authors: A. Rathinasamy, Jianguo Tan, Hongli Wang, Yongfeng Guo 

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/791048

Recommendations

• Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion
• Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Poisson jumps
• Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching
• Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations
• Convergence analysis of semi-implicit Euler methods for solving stochastic age-dependent capital system with variable delays and random jump magnitudes

Mathematics Subject Classification ID

Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10) PDEs with randomness, stochastic partial differential equations (35R60) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Jump processes on general state spaces (60J76)

Cites Work

• Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes
• Numerical methods for nonlinear stochastic differential equations with jumps
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps
• Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
• Title not available (Why is that?)
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
• Existence, uniqueness and exponential stability for stochastic age-dependent population
• Split-step \(\theta\)-methods for stochastic age-dependent population equations with Markovian switching
• Numerical analysis for stochastic age-dependent population equations with Poisson jump and phase semi-Markovian switching
• Numerical analysis for stochastic age-dependent population equations with Poisson jumps
• Convergence of the semi-implicit Euler method for stochastic age-dependent population equations with Poisson jumps
• Stability of solution to a class of investment system
• Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
• The stochastic stability of interest rates with jump changes
• Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes

Cited In (6)

• Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching
• Almost sure exponential stability of the split-step backward Euler method for stochastic age-dependent capital system
• Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations
• Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes
• Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion
• Convergence analysis of semi-implicit Euler methods for solving stochastic age-dependent capital system with variable delays and random jump magnitudes

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