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Analysis and Approximation of a Stochastic Growth Model with Extinction
Journal article   Peer reviewed

Analysis and Approximation of a Stochastic Growth Model with Extinction

Fabien Campillo, Marc Joannides and Irène Larramendy-Valverde
Methodology and Computing in Applied Probability, Vol.18(2), pp.499 - 515
06/2016

Abstract

diffusion processes Fokker-Planck equation Markov processes logistic model extinction PDE
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.
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