کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4639715 1341247 2011 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Exponential stability of numerical solutions for a class of stochastic age-dependent capital system with Poisson jumps
چکیده انگلیسی

Recently, numerical solutions of stochastic differential equations have received a great deal of attention. Numerical approximation schemes are invaluable tools for exploring their properties. In this paper, we introduce a class of stochastic age-dependent (vintage) capital system with Poisson jumps. We also give the discrete approximate solution with an implicit Euler scheme in time discretization. Using Gronwall’s lemma and Barkholder–Davis–Gundy’s inequality, some criteria are obtained for the exponential stability of numerical solutions to the stochastic age-dependent capital system with Poisson jumps. It is proved that the numerical approximation solutions converge to the analytic solutions of the equations under the given conditions, where information on the order of approximation is provided. These error bounds imply strong convergence as the timestep tends to zero. A numerical example is used to illustrate the theoretical results.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 12, 15 April 2011, Pages 3369–3377
نویسندگان
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