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

Abstract 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 Browni...

Full description

Bibliographic Details

Published in:	Advances in Difference Equations
Main Authors:	Ting Kang, Qimin Zhang
Format:	Article
Language:	English
Published:	SpringerOpen 2018-10-01
Subjects:	Stochastic age-dependent capital system Poisson jumps Fractional Brownian motion Split-step θ-method Strong convergence
Online Access:	http://link.springer.com/article/10.1186/s13662-018-1828-z