Abstract
Stochastic neutral technical progress and investment system with Poisson jumps are considered in this paper. In general most of stochastic investment system with jumps do not have explicit solutions, thus numerical approximation schemes are invaluable tools for exploring their properties. The main purpose of this paper is to develop a numerical Euler scheme and show the convergence of the numerical approximation solution to the true solution by using It\(\hat{o}\) formula and Burkholder-Davis-Gundy inequality.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Merton, R.C.: Option pricing when underlying stock returns are discontinuous. J. Financial Econom. 3, 125–144 (1976)
Athans, M.: Command and control (C2) theory: A challenge to control science. IEEE Trans. Automat. Control 32, 286–293 (1987)
Gukhal, C.R.: The compound option approach to American options on jump-diffusions. J. Econom. Dynam. Control 28, 2055–2074 (2004)
Gupta, M., Campbell, V.S.: The cost of quality. Production and Inventory Management Journal 36, 43–49 (1995)
Ben-daya, M.: Multi-stage lot-sizing models with imperfect processes and inspection erros. Production Planning and Control 10, 118–126 (1999)
Salameh, M.K., Jaber, M.Y.: Economic production quantity model for items with imperfect quality. International Journal of Production Economics 64, 59–64 (2000)
Lee, H.H.: Investment model development for repetitive inspections and measurement equipment in imperfect production systems. International Journal of Advanced Manufacturing Technology 31, 278–282 (2006)
Platen, E.: An introduction to numerical methods for stochastic differential equations. Acta Numer 8, 197–246 (1999)
Marion, G., Mao, X., Renshaw, E.: Convergence of the Euler scheme for a class of stochastic differential equation. Internat. Math. J. 1, 9–22 (2002)
Ronghua, L., Hongbing, M., Qin, C.: Exponential stability of numerical solutions to SDDEs with Matkovian switching. Appl. Math. Comput. 174, 1302–1313 (2006)
Ronghua, L., Pang, W.K., Wang, Q.H.: Numerical analysis for stochastic age-dependent population equations with Poisson jumps. J. Math. Anal. Appl. 327, 1214–1224 (2007)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2010 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Wang, Z. (2010). Numerical Analysis for Stochastic Investment System with Poisson Jumps. In: Huang, DS., McGinnity, M., Heutte, L., Zhang, XP. (eds) Advanced Intelligent Computing Theories and Applications. ICIC 2010. Communications in Computer and Information Science, vol 93. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14831-6_58
Download citation
DOI: https://doi.org/10.1007/978-3-642-14831-6_58
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-14830-9
Online ISBN: 978-3-642-14831-6
eBook Packages: Computer ScienceComputer Science (R0)