Probabilistic interpretation and numerical approximation of a Kac equationwithout cutoff

Authors
Desvillettes, L Graham, C Meleard, S
Citation
L. Desvillettes et al., Probabilistic interpretation and numerical approximation of a Kac equationwithout cutoff, STOCH PR AP, 84(1), 1999, pp. 115-135
Citations number
21
Categorie Soggetti
Mathematics
Journal title
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
ISSN journal
03044149 → ACNP
Volume
84
Issue
1
Year of publication
1999
Pages
115 - 135
Database
ISI
SICI code
0304-4149(19991101)84:1<115:PIANAO>2.0.ZU;2-V
Abstract
A nonlinear pure-jump Markov process is associated with a singular Kac equa tion. This process is the unique solution in law for a nonclassical stochas tic differential equation. Its law is approximated by simulable stochastic particle systems, with rates of convergence. An effective numerical study i s given at the end of the paper. (C) 1999 Published by Elsevier Science B.V . All rights reserved.