Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach

DOI10.1093/IMANUM/21.4.887zbMath0993.65014OpenAlexW1998499117MaRDI QIDQ2763940

M. V. Tretyakov, Grigori N. Milstein

Publication date: 26 September 2002

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7f89bbbddc6cebb98acedcdac54e993a0f25a7fb

zbMATH Keywords

convergenceDirichlet problemnumerical examplesstochastic differential equationsBurgers equationMonte Carlo methoderror boundsemilinear parabolic equationsprobabilistic representationslayer methods

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) KdV equations (Korteweg-de Vries equations) (35Q53) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical solutions to stochastic differential and integral equations (65C30)

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