The probability approach to numerical solution of nonlinear parabolic equations

DOI10.1002/num.10020zbMath1014.65005OpenAlexW2052849518MaRDI QIDQ3150188

Grigori N. Milstein

Publication date: 17 July 2003

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.10020

zbMATH Keywords

numerical examplesstochastic differential equationsnonlinear parabolic equationsprobabilistic method

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

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Cites Work

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• A practical guide to splines
• Weak approximation of a diffusion process in a bounded domain
• Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise
• A stochastic particle method for the McKean-Vlasov and the Burgers equation

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