Convergence of numerical solutions for a class of stochastic age-dependent capital system with Markovian switching

被引：12

作者：

Zhang Qi-min ^{[1
]}

机构：

[1] Ningxia Univ, Sch Math & Comp Sci, Yinchuan 750021, Peoples R China

来源：

ECONOMIC MODELLING | 2011年 / 28卷 / 03期

关键词：

Stochastic age-dependent capital system; Markovian switching; Numerical solution; Euler approximation; EXPONENTIAL STABILITY; JUMPING PARAMETERS; NEURAL-NETWORKS;

D O I：

10.1016/j.econmod.2010.12.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Recently, numerical solutions of stochastic differential equations have received a great deal of attention. Numerical approximation schemes are invaluable tools for exploring its properties. In this paper, we introduce a class of stochastic age-dependent (vintage) capital system with Markovian switching, and investigate the convergence of numerical approximation. It is proved that the numerical approximation solutions converge to the analytic solutions of the equations under the given conditions. A numerical example is provided to illustrate the theoretical results. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：1195 / 1201

页数：7

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