Probabilistic Interpretation and Numerical Approximation of a Kac Equation without Cutoff

A nonlinear pure-jump Markov process is associated with a singular Kac equation. This process is the unique solution in law for a nonclassical stochastic differential equation. Its law is approximated by simulable stochastic particle systems, with rates of convergence. An effective numerical study is given at the end of the paper.

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Year of publication:	1999
Authors:	Desvillettes, Laurent ; Graham, Carl ; Méléard, Sylvie
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 84.1999, 1, p. 115-135
Publisher:	Elsevier
Keywords:	Kac equation without cutoff Nonlinear stochastic differential equation Stochastic particle system

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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