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...
Guardado en:
| Autores principales: | , , , , |
|---|---|
| Formato: | JOUR |
| Materias: | |
| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_07362994_v23_n4_p809_Davila |
| Aporte de: |
| id |
todo:paper_07362994_v23_n4_p809_Davila |
|---|---|
| record_format |
dspace |
| spelling |
todo:paper_07362994_v23_n4_p809_Davila2023-10-03T15:37:48Z Numerical analysis of stochastic differential equations with explosions Dávila, J. Bonder, J.F. Rossi, J.D. Groisman, P. Sued, M. 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. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar 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 Dávila, J. Bonder, J.F. Rossi, J.D. Groisman, P. Sued, M. 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. |
| format |
JOUR |
| author |
Dávila, J. Bonder, J.F. Rossi, J.D. Groisman, P. Sued, M. |
| author_facet |
Dávila, J. Bonder, J.F. Rossi, J.D. Groisman, P. Sued, M. |
| author_sort |
Dávila, J. |
| 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 |
| url |
http://hdl.handle.net/20.500.12110/paper_07362994_v23_n4_p809_Davila |
| work_keys_str_mv |
AT davilaj numericalanalysisofstochasticdifferentialequationswithexplosions AT bonderjf numericalanalysisofstochasticdifferentialequationswithexplosions AT rossijd numericalanalysisofstochasticdifferentialequationswithexplosions AT groismanp numericalanalysisofstochasticdifferentialequationswithexplosions AT suedm numericalanalysisofstochasticdifferentialequationswithexplosions |
| _version_ |
1807322405456052224 |