Probabilistic analysis of the upwind scheme for transport equations (Q717432)

The authors associate the upwind scheme for the \(d\)-dimensional transport problem \[ \begin{cases} \partial_{t}u(t,x)+\langle a(x),\nabla u(t,x)\rangle=0,\;(t,x)\in \mathbb{R}_{+}\times\mathbb{R}^{d},\\ u(0,x)=u^{0}(x),\;x\in\mathbb{R}^{d},\end{cases} \] with a Markov chain. They show that the error induced by the scheme is governed by the fluctuations of the Markov chain around characteristics of the considered problem. Using the probabilistic approach, the authors obtain some results concerning the order of convergence of the proposed scheme.