A transformed stochastic Euler scheme for multidimensional transmission PDE
DOI10.1016/j.cam.2021.113551zbMath1475.65067arXiv1805.11363WikidataQ114201999 ScholiaQ114201999MaRDI QIDQ2029425
Publication date: 3 June 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.11363
stochastic differential equations; Monte Carlo methods; divergence form operators; Euler discretization scheme
65C05: Monte Carlo methods
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
35A01: Existence problems for PDEs: global existence, local existence, non-existence
35R60: PDEs with randomness, stochastic partial differential equations
35A02: Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness
65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs
35A09: Classical solutions to PDEs
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