Strong Convergence of the Split-Step θ -Method for Stochastic Age-Dependent Capital System with Random Jump Magnitudes

الملخص EN

We develop a new split-step θ (SS θ ) method for stochastic age-dependent capital system with random jump magnitudes.

The main aim of this paper is to investigate the convergence of the SS θ method for a class of stochastic age-dependent capital system with random jump magnitudes.

It is proved that the proposed method is convergent with strong order 1/2 under given conditions.

Finally, an example is simulated to verify the results obtained from theory.