带跳和分数Brown运动的固定资产系统倒向Euler数值解的均方渐近有界性

Asymptotic Mean-Square Boundedness of the Backward Euler Numerical Solution of Stochastic Age-Dependent Capital System with Fractional Brownian Motion And Jumps

介绍了一类与年龄相关的随机固定资产系统倒向Euler数值解法.漂移系数和扩散系数在单边Lipschitz条件和有界条件下,建立了随机固定资产系统倒向Euler数值解均方渐近有界性的判定准则.最后通过数值算例对结论进行了验证.

In this paper, we introduce a class of backward Euler methods for stochastic age-dependent capital system with fractional Brownian motion and jumps. Under the onesided Lipschitz condition on the drift coefficient and the bounded condition on the diffusion coefficients, we obtain the asymptotic mean-square boundedness of the backward Euler numerical solution of stochastic age-dependent capital system with fractional Brownian motion and jumps. Finally, an example is given for verifying the algorithm of this paper.