Artículo
Dávila, J.; Bonder, J.F.; Rossi, J.D.; Groisman, P.; Sued, M. "Numerical analysis of stochastic differential equations with explosions" (2005) Stochastic Analysis and Applications. 23(4):809-825
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Abstract:
Stochastic ordinary differential equations may have solutions that explode in finite or infinite time. In this article we design an adaptive numerical scheme that reproduces the explosive behavior. The time step is adapted according to the size of the computed solution in such a way that, under adequate hypotheses, the explosion of the solutions is reproduced. Copyright © Taylor & Francis, Inc.
Registro:
| Documento: | Artículo |
| Título: | Numerical analysis of stochastic differential equations with explosions |
| Autor: | Dávila, J.; Bonder, J.F.; Rossi, J.D.; Groisman, P.; Sued, M. |
| Filiación: | Departamento de Ingeniería Matemática, Universidad de Chile, Santiago, Chile Departamento de Matemática, FCEyN, Universidad de Buenos Aires, Buenos Aires, Argentina Instituto de Cálcule, FCEyN, Universidad de Buenos Aires, Buenos Aires, Argentina Instituto de Cálculo, FCEyN, Ciudad Universitaria (1428), Buenos Aires, Argentina |
| Palabras clave: | Explosion; Numerical approximations; Stochastic differential equations |
| Año: | 2005 |
| Volumen: | 23 |
| Número: | 4 |
| Página de inicio: | 809 |
| Página de fin: | 825 |
| DOI: | http://dx.doi.org/10.1081/SAP-200064484 |
| Título revista: | Stochastic Analysis and Applications |
| Título revista abreviado: | Stoch. Anal. Appl. |
| ISSN: | 07362994 |
| Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_07362994_v23_n4_p809_Davila |
Referencias:
- Acosta, G., Durán, R., Rossi, J.D., An adaptive time step procedure for a parabolic problem with blow-up (2002) Computing, 68 (4), pp. 343-373
- Higham, D.J., An algorithmic introduction to numerical simulation of stochastic differential equations (2001) SIAM Rev., 43 (3), pp. 525-546
- Higham, D.J., Mao, X., Stuart, A.M., Strong convergence of Euler-type methods for nonlinear stochastic differential equations (2002) SIAM J. Number. Anal., 40 (3), pp. 1041-1063
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- Kloeden, P.E., Platen, E., Numerical solution of stochastic differential equations (1992) Applications of Mathematics, 23. , (New York). Berlin: Springer-Verlag
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- Platen, E., An introduction to numerical methods for stochastic differential equations (1999) Acta Numerica, pp. 197-246. , Volume 8 of Acta Numer., Cambridge: Cambridge University Press
- Rogers, L.C.G., Williams, D., (1994) Diffusions, Markov Processes, and Martingales, 2. , Cambridge Mathematical Library. Cambridge: Cambridge University Press
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Citas:
---------- APA ----------
Dávila, J., Bonder, J.F., Rossi, J.D., Groisman, P. & Sued, M. (2005) . Numerical analysis of stochastic differential equations with explosions. Stochastic Analysis and Applications, 23(4), 809-825.http://dx.doi.org/10.1081/SAP-200064484
---------- CHICAGO ----------
Dávila, J., Bonder, J.F., Rossi, J.D., Groisman, P., Sued, M. "Numerical analysis of stochastic differential equations with explosions" . Stochastic Analysis and Applications 23, no. 4 (2005) : 809-825.http://dx.doi.org/10.1081/SAP-200064484
---------- MLA ----------
Dávila, J., Bonder, J.F., Rossi, J.D., Groisman, P., Sued, M. "Numerical analysis of stochastic differential equations with explosions" . Stochastic Analysis and Applications, vol. 23, no. 4, 2005, pp. 809-825.http://dx.doi.org/10.1081/SAP-200064484
---------- VANCOUVER ----------
Dávila, J., Bonder, J.F., Rossi, J.D., Groisman, P., Sued, M. Numerical analysis of stochastic differential equations with explosions. Stoch. Anal. Appl. 2005;23(4):809-825.http://dx.doi.org/10.1081/SAP-200064484
