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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Detalles Bibliográficos
Autores principales: Dávila, J., Bonder, J.F., Rossi, J.D., Groisman, P., Sued, M.
Formato: JOUR
Materias:
Explosion
Numerical approximations
Stochastic differential equations
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_07362994_v23_n4_p809_Davila
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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