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