We develop a new split-step (SS) 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 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.
Jianguo Tan. A. Rathinasamy. Hongli Wang. Yongfeng Guo. "Strong Convergence of the Split-Step -Method for Stochastic Age-Dependent Capital System with Random Jump Magnitudes." Abstr. Appl. Anal. 2014 (SI17) 1 - 14, 2014. https://doi.org/10.1155/2014/791048