Convergence of numerical solutions for a class of stochastic age-dependent capital system with fractional Brownian motion

摘要

In this paper, we consider a class of stochastic age-dependent capital system with fractional Brownian motion, and investigate the convergence of numerical approximate solution. It is proved that the numerical approximation solutions converge to the analytic solutions of the equations under given conditions. A numerical example is provided to illustrate the theoretical results.