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: | , , , , |
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| Formato: | JOUR |
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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_07362994_v23_n4_p809_Davila |
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| Sumario: | 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. |
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