Strong convergence of split-step backward Euler method for stochastic age-dependent capital system with Markovian switching

作者：Zhang Qimin^*; Liu Yating; Li Xining

来源：Applied Mathematics and Computation, 2014, 235: 439-453.

DOI：10.1016/j.amc.2013.12.189

• Stochastic age-dependent capital system
• One-sided local Lipschitz condition
• Local Lipschitz condition
• Split-step backward Euler method
• Markovian switching

In this paper, we present and analyze the split-step backward Euler method for the stochastic capital system with Markovian switching. Under the one-sided local Lipschitz condition on the drift and local Lipschitz condition on the diffusion, we prove the split-step backward Euler method converges with strong order of one half to the true solution. A numerical example is provided to illustrate the theoretical results.

• 出版日期2014-5-25
• 单位宁夏大学