A stochastic particle method for some one-dimensional nonlinear p.d.e

DOI10.1016/0378-4754(93)E0065-DMaRDI QIDQ1897656zbMATHOpenAlexFDO

Authors Mireille Bossy, Denis Talay

Publication date 6 November 1995

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(93)e0065-d

zbMATH Keywords

convergenceapproximationnonlinear partial differential equationsstochastic particle algorithmcomputation of the cumulative distribution function

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites work

• scientific article; zbMATH DE number 4009509 (Why is no real title available?)
• scientific article; zbMATH DE number 1153868 (Why is no real title available?)
• A Study of the Vortex Sheet Method and its Rate of Convergence
• A propagation of chaos result for a system of particles with moderate interaction
• Convergence of Random Methods for a Reaction-Diffusion Equation
• Convergence of a Random Particle Method to Solutions of the Kolmogorov Equation u t = νu xx + u(1 - u)
• Convergence of a Random Walk Method for the Burgers Equation
• Monte Carlo simulation of nonlinear diffusion processes
• Monte Carlo simulation of nonlinear diffusion processes. II
• On the McKean-Vlasov Limit for Interacting Diffusions
• Rate of Convegence of a Stochastic Particle Method for the Kolmogorov Equation with Variable Coefficients

Cited in

(9)

• scientific article; zbMATH DE number 447038 (Why is no real title available?)
• Une méthode particulaire pour les équations non linéaires de diffusion convection en dimension un. (A particle method for nonlinear one-dimensional diffusion-convection equations)
• Computation of nonlinear functionals in particle methods
• Probabilistic approximation via spatial derivation of some nonlinear parabolic evolution equations
• scientific article; zbMATH DE number 584529 (Why is no real title available?)
• A probabilistic algorithm approximating solutions of a singular PDE of porous media type
• Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
• Some stochastic particle methods for nonlinear parabolic PDEs
• A stochastic methodology for nonlinear partial differential equations

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