Numerical analysis for stochastic age-dependent population equations with Poisson jumps

DOI10.1016/j.jmaa.2006.04.091zbMath1115.65008OpenAlexW1966709522MaRDI QIDQ860657

Wan-Kai Pang, Qinghe Wang, Rong-Hua Li

Publication date: 9 January 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.04.091

zbMATH Keywords

strong convergencePoisson jumpsdiscrete time approximationstochastic age-dependent population equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Population dynamics (general) (92D25) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• The compound option approach to American options on jump-diffusions
• The dynamics of hierarchical age-structured populations
• Existence, uniqueness and exponential stability for stochastic age-dependent population
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Convergence of numerical solutions to stochastic age-dependent population equations
• Option pricing when underlying stock returns are discontinuous
• On the use of the direct matrix product in analysing certain stochastic population models

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