Un Procedimiento de Discretización para la Solución Numérica de un Problema de Grandes Desviaciones

Laura S. Aragone, Beatriz Introcaso


In this paper we present a numerical procedure to solve a large deviation problem. This one consist in an elliptical non linear equation. The procedure uses a discretization method of trajectories in HI, which is similar to that applied in [1, 2]. We give results of convergence of the discrete solution to the continuous problem's solution and an algorithm to compule the numerical solution which finishes in a finite number of steps. Numerical exanlples are shown.

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ISSN 2591-3522