Numerical analysis of stochastic differential equations with explosions

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 adeq...

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Autores principales: Rossi, Julio Daniel, Groisman, Pablo Jose, Sued, Mariela
Publicado: 2005
Materias:
Explosion
Numerical approximations
Stochastic differential equations
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_07362994_v23_n4_p809_Davila
http://hdl.handle.net/20.500.12110/paper_07362994_v23_n4_p809_Davila
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Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id paper:paper_07362994_v23_n4_p809_Davila
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spelling paper:paper_07362994_v23_n4_p809_Davila2023-06-08T15:44:10Z Numerical analysis of stochastic differential equations with explosions Rossi, Julio Daniel Groisman, Pablo Jose Sued, Mariela Explosion Numerical approximations Stochastic differential equations 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. Fil:Rossi, J.D. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Groisman, P. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Sued, M. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. 2005 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_07362994_v23_n4_p809_Davila http://hdl.handle.net/20.500.12110/paper_07362994_v23_n4_p809_Davila
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Explosion
Numerical approximations
Stochastic differential equations
spellingShingle Explosion
Numerical approximations
Stochastic differential equations
Rossi, Julio Daniel
Groisman, Pablo Jose
Sued, Mariela
Numerical analysis of stochastic differential equations with explosions
topic_facet Explosion
Numerical approximations
Stochastic differential equations
description 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.
author Rossi, Julio Daniel
Groisman, Pablo Jose
Sued, Mariela
author_facet Rossi, Julio Daniel
Groisman, Pablo Jose
Sued, Mariela
author_sort Rossi, Julio Daniel
title Numerical analysis of stochastic differential equations with explosions
title_short Numerical analysis of stochastic differential equations with explosions
title_full Numerical analysis of stochastic differential equations with explosions
title_fullStr Numerical analysis of stochastic differential equations with explosions
title_full_unstemmed Numerical analysis of stochastic differential equations with explosions
title_sort numerical analysis of stochastic differential equations with explosions
publishDate 2005
url https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_07362994_v23_n4_p809_Davila
http://hdl.handle.net/20.500.12110/paper_07362994_v23_n4_p809_Davila
work_keys_str_mv AT rossijuliodaniel numericalanalysisofstochasticdifferentialequationswithexplosions
AT groismanpablojose numericalanalysisofstochasticdifferentialequationswithexplosions
AT suedmariela numericalanalysisofstochasticdifferentialequationswithexplosions
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