Analysis and Approximation of a Stochastic Growth Model with Extinction

被引：10

作者：

Campillo, Fabien ^{[1
]}

Joannides, Marc ^{[1
,2
]}

Larramendy-Valverde, Irene ^{[2
]}

机构：

[1] INRIA INRA, Project Team MODEMIC, UMR MISTEA, Bat 29,2 Pl Viala, F-34060 Montpellier 06, France

[2] Univ Montpellier 2, I3M, Case Courrier 51,Pl Eugene Bataillon, F-34095 Montpellier 5, France

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2016年 / 18卷 / 02期

关键词：

Logistic model; Markov processes; Diffusion processes; Extinction; Fokker-Planck equation; PDE; CHEMOSTAT; EQUATIONS;

D O I：

10.1007/s11009-015-9438-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：499 / 515

页数：17

共 23 条

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[2]

[Anonymous], 1999, ASYMPTOTIC METHODS F, DOI DOI 10.1007/978-3-662-03857-4

[3]

[Anonymous], 1838, CORRESP MATH PHYS, DOI 10.1007/bf02309004

[4] Exact simulation of diffusions [J].