Numerical and mathematical analysis of blow-up problems for a stochastic differential equation

Tetsuya Ishiwata, Young Chol Yang

研究成果: Article査読

抄録

We consider the blow-up problems of the power type of stochastic differential equation, dX = αXp(t)dt + Xq(t)dW(t). It has been known that there exists a critical exponent such that if p is greater than the critical exponent then the solution X(t) blows up almost surely in the finite time. In our research, focus on this critical exponent, we propose a numerical scheme by adaptive time step and analyze it mathematically. Finally we show the numerical result by using the proposed scheme.

本文言語English
ページ(範囲)909-918
ページ数10
ジャーナルDiscrete and Continuous Dynamical Systems - Series S
14
3
DOI
出版ステータスPublished - 2021 3

ASJC Scopus subject areas

  • Analysis
  • Discrete Mathematics and Combinatorics
  • Applied Mathematics

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