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.
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Campillo, F., Joannides, M. & Larramendy-Valverde, I. Analysis and Approximation of a Stochastic Growth Model with Extinction. Methodol Comput Appl Probab 18, 499–515 (2016). https://doi.org/10.1007/s11009-015-9438-7
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DOI: https://doi.org/10.1007/s11009-015-9438-7