A probabilistic approach to numerical solution of the nonlinear diffusion equation

DOI10.1002/NUM.1690060405MaRDI QIDQ3203983zbMATH OpenOpenAlexWikidataFDO

Authors A. Korzeniowski

Publication date 1990

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

Full work available at URL https://doi.org/10.1002/num.1690060405

zbMATH Keywords

random walkerror estimatenonlinear diffusion equationaveraging of neighboursextended Feynman-Kac-formulasimulation of Brownian motions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Reaction-diffusion equations (35K57) Error bounds for boundary value problems involving PDEs (65N15) Applications to the sciences (65Z05)

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Cites work

• Convergence of solutions of the Kolmogorov equation to travelling waves

Cited in

(6)

• Fundamental solution for Cauchy initial value problem for parabolic PDEs with discontinuous unbounded first-order coefficient at the origin. Extension of the classical parametrix method
• A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders
• Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation
• Probabilistic Approximation of a Nonlinear Parabolic Equation Occurring in Rheology
• Numerical scheme and analytical solutions to the stochastic nonlinear advection diffusion dynamical model
• Solving the random Cauchy one-dimensional advection-diffusion equation: numerical analysis and computing

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