Analysis and Approximation of a Stochastic Growth Model with Extinction

Fabien Campillo (), Marc Joannides () and Irène Larramendy-Valverde ()
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Fabien Campillo: Project-Team MODEMIC, INRIA/INRA, UMR MISTEA
Marc Joannides: Project-Team MODEMIC, INRIA/INRA, UMR MISTEA
Irène Larramendy-Valverde: Université Montpellier 2/I3M

Methodology and Computing in Applied Probability, 2016, vol. 18, issue 2, 499-515

Abstract: Abstract 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.

Keywords: Logistic model; Markov processes; Diffusion processes; Extinction; Fokker–Planck equation; PDE; 60J60; 60H35; 65C20; 92D40 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s11009-015-9438-7

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