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Pregled bibliografske jedinice broj: 540753

Časopis

Autori: Limić, Nedžad
Naslov: Markov Jump Processes Approximating a Non-Symmetric Generalized Diffusion
( Markov Jump Processes Approximating a Non-Symmetric Generalized Diffusion )
Izvornik: Applied mathematics and optimization (0095-4616) 64 (2011), 1; 101-133
Vrsta rada: članak
Ključne riječi: Symmetric diffusion; Approximation of diffusion; Simulation of diffusion; Divergence form operators
( Symmetric diffusion; Approximation of diffusion; Simulation of diffusion; Divergence form operators )
Sažetak:
Consider a non-symmetric generalized diffusion X(⋅) in ℝ d determined by the differential operator $A(\mbox{; ; ; \boldmath{; ; ; $Missing close brace. In this paper the diffusion process is approximated by Markov jump processes X n (⋅), in homogeneous and isotropic grids G n ⊂ℝ d , which converge in distribution in the Skorokhod space D([0, ∞), ℝ d ) to the diffusion X(⋅). The generators of X n (⋅) are constructed explicitly. Due to the homogeneity and isotropy of grids, the proposed method for d≥3 can be applied to processes for which the diffusion tensor $\{; ; ; a_{; ; ; ij}; ; ; (\mbox{; ; ; \boldmath{; ; ; $Missing close brace fulfills an additional condition. The proposed construction offers a simple method for simulation of sample paths of non-symmetric generalized diffusion. Simulations are carried out in terms of jump processes X n (⋅). For piecewise constant functions a ij on ℝ d and piecewise continuous functions a ij on ℝ2 the construction and principal algorithm are described enabling an easy implementation into a computer code.
Projekt / tema: 037-1193086-2771
Izvorni jezik: eng
Rad je indeksiran u
bazama podataka:
Current Contents Connect (CCC)
Scopus
SCI-EXP, SSCI i/ili A&HCI
Science Citation Index Expanded (SCI-EXP) (sastavni dio Web of Science Core Collectiona)
Kategorija: Znanstveni
Znanstvena područja:
Matematika
URL Internet adrese: http://link.springer.com/article/10.1007/s00245-011-9133-1
Broj citata:
Altmetric:
DOI: 10.1007/s00245-011-9133-1
URL cjelovitog teksta:
Google Scholar: Markov Jump Processes Approximating a Non-Symmetric Generalized Diffusion
Upisao u CROSBI: rogina.math@pmf.hr (rogina.math@pmf.hr), 15. Stu. 2011. u 16:17 sati



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