کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4629114 1340574 2013 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes
چکیده انگلیسی

In stochastic differential equations (SDEs), there is a class of stochastic functional differential equations with random jump magnitudes, which aries in many financial models. In general most equations of stochastic age-dependent capital system do not have explicit solutions. Thus numerical approximation schemes are invaluable tools for exploring their properties. In this paper, the numerical approximation is established for a class of stochastic age-dependent capital system with random jump magnitudes. The main aim of this paper is to investigate the convergence of the numerical approximation for a class of stochastic age-dependent capital system with random jump magnitudes. It is proved that the numerical approximate solutions converge to the analytical solutions of the equations under given conditions. The numerical approximate results in Zhang et al. (2011) [2] are improved. An example is given for illustration.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 219, Issue 14, 15 March 2013, Pages 7297–7305
نویسندگان
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