Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations

DOI10.1090/S0025-5718-99-01134-5zbMath0935.35062OpenAlexW2153422610MaRDI QIDQ4700196

M. V. Tretyakov, Grigori N. Milstein

Publication date: 1 November 1999

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

Full work available at URL: https://doi.org/10.1090/s0025-5718-99-01134-5

zbMATH Keywords

reaction-diffusion equationBurgers equation with small viscositygeneralized KPP-equation with a small parameterspecial layer methodsstochastic differential equation with small noise

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Singular perturbations in context of PDEs (35B25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Initial value problems for second-order parabolic equations (35K15)

Related Items (13)

Stochastic representation of weak solutions of viscous conservation laws: a BSDE approach ⋮ A probabilistic method for numerical solution of quasi-linear parabolic equations ⋮ Flux form semi-Lagrangian methods for parabolic problems ⋮ Probabilistic representations and numerical algorithms for classical and viscosity solutions of the Cauchy problem for quasilinear parabolic systems ⋮ A fully semi-Lagrangian discretization for the 2D incompressible Navier-Stokes equations in the vorticity-streamfunction formulation ⋮ Strongly nonlinear stochastic processes in physics and the life sciences ⋮ An approximation method for Navier-Stokes equations based on probabilistic approach. ⋮ An interpolated stochastic algorithm for quasi-linear PDEs ⋮ A forward-backward stochastic algorithm for quasi-linear PDEs ⋮ Second order fully semi-Lagrangian discretizations of advection-diffusion-reaction systems ⋮ Numerical solution of quasilinear parabolic equations and backward stochastic differential equations ⋮ Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach ⋮ Probabilistic Methods for the Incompressible Navier–Stokes Equations With Space Periodic Conditions

Cites Work

• Discretization and simulation of stochastic differential equations
• Multiple scale and singular perturbation methods
• On artificial viscosity
• Solving Ordinary Differential Equations I
• The probability approach to numerical solution of nonlinear parabolic equations
• Functional Integration and Partial Differential Equations. (AM-109)
• Weak approximation of a diffusion process in a bounded domain
• Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise
• Adaptive Finite Element Methods for Parabolic Problems IV: Nonlinear Problems
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• A Method for the Numerical Calculation of Hydrodynamic Shocks
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