Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching

被引：6

作者：

Zhang, Qimin ^{[1
,2
]}

Liu, Yating ^{[1
]}

Li, Xining ^{[2
]}

机构：

[1] North Univ Nationalities, Inst Informat & Syst Sci, Yinchuan 750021, Peoples R China

[2] NingXia Univ, Sch Math & Comp Sci, Yinchuan 750021, Peoples R China

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2014年 / 235卷

基金：

中国国家自然科学基金;

关键词：

Stochastic age-dependent capital system; One-sided local Lipschitz condition; Local Lipschitz condition; Split-step backward Euler method; Markovian switching; NUMERICAL-SOLUTIONS; DIFFERENTIAL-EQUATIONS; DRIFT;

D O I：

10.1016/j.amc.2013.12.189

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we present and analyze the split-step backward Euler method for the stochastic capital system with Markovian switching. Under the one-sided local Lipschitz condition on the drift and local Lipschitz condition on the diffusion, we prove the split-step backward Euler method converges with strong order of one half to the true solution. A numerical example is provided to illustrate the theoretical results. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：439 / 453

页数：15

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