Analysis and approximation of a stochastic growth model with extinction

Abstract : We consider a stochastic growth model for which extinction eventually occurs almost surely. The associated complete Fokker–Planck equation describing the law of the process is established and studied. This equation combines a PDE and an ODE, connected one to each other. We then design a finite differences numerical scheme under a probabilistic viewpoint. The model and its approximation are evaluated through numerical simulations.
Type de document :
Article dans une revue
Methodology and Computing in Applied Probability, Springer Verlag, 2015, pp.1-17
Liste complète des métadonnées

https://hal.inria.fr/hal-01111641
Contributeur : Fabien Campillo <>
Soumis le : vendredi 30 janvier 2015 - 16:47:10
Dernière modification le : vendredi 12 janvier 2018 - 01:54:27

Identifiants

  • HAL Id : hal-01111641, version 1

Citation

Fabien Campillo, Marc Joannides, Irène Larramendy-Valverde. Analysis and approximation of a stochastic growth model with extinction. Methodology and Computing in Applied Probability, Springer Verlag, 2015, pp.1-17. 〈hal-01111641〉

Partager

Métriques

Consultations de la notice

193