Strong convergence of the split-step θ-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion

被引：0
作者：
Ting Kang
Qimin Zhang
机构：
[1] Ningxia University,School of Mathematics and Statistics
[2] Ningxia University,Xinhua College
来源：
Advances in Difference Equations | / 2018卷
关键词：
Stochastic age-dependent capital system; Poisson jumps; Fractional Brownian motion; Split-step ; -method; Strong convergence;
D O I：
暂无
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摘要：
Most stochastic age-dependent capital systems cannot be solved explicitly, so it is necessary to develop numerical methods and study the properties of numerical solutions. In this paper, we consider a class of stochastic age-dependent capital systems with Poisson jumps and fractional Brownian motion (fBm) and investigate the convergence of the split-step θ-method (SSθ) for this system. It is proved that the numerical approximation solutions converge to the analytic solutions for the equations, and the order of approximation is also provided. Finally, a numerical experiment is simulated to illustrate that the SSθ method has better accuracy than the Euler method.
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