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- W2896023760 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 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." @default.
- W2896023760 created "2018-10-26" @default.
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- W2896023760 date "2018-10-11" @default.
- W2896023760 modified "2023-09-24" @default.
- W2896023760 title "Strong convergence of the split-step θ-method for stochastic age-dependent capital system with Poisson jumps and fractional Brownian motion" @default.
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- W2896023760 doi "https://doi.org/10.1186/s13662-018-1828-z" @default.
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