Probability methods for the convergence of finite difference approximations to partial differential equations

DOI10.1016/0022-247X(73)90280-1zbMath0271.35029OpenAlexW2093043749MaRDI QIDQ759314

Harold J. Kushner, Chen-Fu. Yu

Publication date: 1973

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(73)90280-1

Mathematics Subject Classification ID

Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Degenerate elliptic equations (35J70) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Parabolic equations and parabolic systems (35K99) Numerical methods for partial differential equations, boundary value problems (65N99)

Related Items (9)

Continuous-time Random Walks for the Numerical Solution of Stochastic Differential Equations ⋮ SPECTRWM: Spectral Random Walk Method for the Numerical Solution of Stochastic Partial Differential Equations ⋮ The approximate calculation of invariant measures of diffusions via finite difference approximations to degenerate elliptic partial differential equations ⋮ Computation of optimal controls for a nonlinear stochastic third-order system ⋮ Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions ⋮ Probability methods for convergence of approximations of integrodifferential equations ⋮ Approximations and computational methods for optimal stopping and stochastic impulsive control problems ⋮ Sticky Brownian Motion and Its Numerical Solution ⋮ Optimal bang-bang control of partially observable stochastic systems†

Cites Work

• Probability limit theorems and the convergence of finite difference approximations of partial differential equations
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