Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval

DOI10.1214/aop/1039548372zbMath1013.60080OpenAlexW2037927130MaRDI QIDQ1872309

Benjamin Jourdain, Mireille Bossy

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1039548372

zbMATH Keywords

weak convergence rateEuler discretization schemenonlinear martingale problemreflected stochastic processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Stochastic particle methods (65C35)

Related Items (4)

Multilevel Picard approximations for McKean-Vlasov stochastic differential equations ⋮ Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations ⋮ Mean-field Langevin dynamics and energy landscape of neural networks ⋮ Iterative multilevel particle approximation for McKean-Vlasov SDEs

Cites Work

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• Stochastic differential equations with reflecting boundary conditions
• Numerical Approximation for Functionals of Reflecting Diffusion Processes
• A table of solutions of the one-dimensional Burgers equation
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• Branching process associated with 2D-Navier-Stokes equation

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