Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws

DOI10.1090/S0025-5718-03-01551-5zbMath1041.65015OpenAlexW2018457890MaRDI QIDQ4452161

Mireille Bossy

Publication date: 12 February 2004

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0025-5718-03-01551-5

zbMATH Keywords

convergenceconservation lawsnumerical exampleserror boundspropagation of chaosRomberg extrapolationnonlinear martingale problemstochastic particle methodweakly interacting particles

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Hyperbolic conservation laws (35L65) 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) Stochastic particle methods (65C35)

Related Items (5)

Direct simulation of the infinitesimal dynamics of semi-discrete approximations for convection-diffusion-reaction problems ⋮ Importance sampling for McKean-Vlasov SDEs ⋮ Convergence of a stochastic particle approximation for fractional scalar conservation laws ⋮ Iterative multilevel particle approximation for McKean-Vlasov SDEs ⋮ Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws

Cites Work

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• Weak rate of convergence for an Euler scheme of nonlinear SDE’s
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• Expansion of the global error for numerical schemes solving stochastic differential equations

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