Title of article :
Probabilistic Interpretation and Numerical Approximation of a Kac Equation without Cutoff
Author/Authors :
Desvillettes، نويسنده , , Laurent and Graham، نويسنده , , Carl and Méléard، نويسنده , , Sylvie، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1999
Pages :
21
From page :
115
To page :
135
Abstract :
A nonlinear pure-jump Markov process is associated with a singular Kac equation. This process is the unique solution in law for a nonclassical stochastic differential equation. Its law is approximated by simulable stochastic particle systems, with rates of convergence. An effective numerical study is given at the end of the paper.
Keywords :
Kac equation without cutoff , Stochastic particle system , Nonlinear stochastic differential equation
Journal title :
Stochastic Processes and their Applications
Serial Year :
1999
Journal title :
Stochastic Processes and their Applications
Record number :
1576550
Link To Document :
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