scientific article; zbMATH DE number 933356

zbMath0854.65116MaRDI QIDQ4895010

Denis Talay

Publication date: 22 January 1997

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

convergenceintegro-differential equationsBurgers equationerror boundsMonte-Carlo methodsnonlinear evolution problemsMcKean-Vlasov equationsconvection-reaction-diffusion equationsstochastic particles methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonlinear parabolic equations (35K55) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) KdV equations (Korteweg-de Vries equations) (35Q53) Reaction-diffusion equations (35K57) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Applications to the sciences (65Z05)

Related Items (24)

A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations ⋮ Rate of convergence of a particle method to the solution of the McKean-Vlasov equation ⋮ Asymptotic properties of Monte Carlo estimators of diffusion processes ⋮ Euler scheme and tempered distributions ⋮ Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds ⋮ Efficient parallel solution of nonlinear parabolic partial differential equations by a probabilistic domain decomposition ⋮ First-order weak balanced schemes for stochastic differential equations ⋮ Weak backward error analysis for Langevin process ⋮ Some remarks on the numerical approximation of stochastic differential equations ⋮ Convergence of the stochastic Euler scheme for locally Lipschitz coefficients ⋮ Wind Simulation Refinement: Some New Challenges for Particle Methods ⋮ A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\) ⋮ Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations ⋮ Stochastic downscaling method: application to wind refinement ⋮ Weak order for the discretization of the stochastic heat equation ⋮ Analysis of splitting methods for reaction-diffusion problems using stochastic calculus ⋮ Adaptive schemes for the numerical solution of SDEs -- a comparison ⋮ Weak approximation of stochastic partial differential equations: the nonlinear case ⋮ STOCHASTIC SOLUTION OF CAUCHY QUASILINEAR SCHEME AND ALVAREZ-LIONS-MOREL ANISOTROPIC DIFFUSION PDE ⋮ On Probabilistic Analytical and Numerical Approaches for Divergence Form Operators with Discontinuous Coefficients ⋮ Probabilistically induced domain decomposition methods for elliptic boundary-value problems ⋮ Numerical solution of conservative finite-dimensional stochastic Schrödinger equations ⋮ Weak convergence of a fully discrete approximation of a linear stochastic evolution equation with a positive-type memory term ⋮ Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient

This page was built for publication: