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

Abstract

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.