Some stochastic particle methods for nonlinear parabolic PDEs

DOI10.1051/proc:2005019zbMath1090.65008OpenAlexW2130123435MaRDI QIDQ3375310

Mireille Bossy

Publication date: 7 March 2006

Published in: ESAIM: Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc:2005019

zbMATH Keywords

convergenceFokker-Planck equationnumerical examplesNavier-Stokes equationturbulent flowsPrandtl equationRomberg extrapolationMcKean-Vlasov equationstochstic differential equationsPrandtl equationsviscous scalar conservation law

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Statistical turbulence modeling (76F55) Navier-Stokes equations (35Q30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Related Items (16)

A higher order weak approximation of McKean-Vlasov type SDEs ⋮ Mean-field backward stochastic differential equations: A limit approach ⋮ Smoothing properties of McKean-Vlasov SDEs ⋮ An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations ⋮ Instantaneous turbulent kinetic energy modelling based on Lagrangian stochastic approach in CFD and application to wind energy ⋮ A class of dimension-free metrics for the convergence of empirical measures ⋮ Pathwise regularisation of singular interacting particle systems and their mean field limits ⋮ Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction ⋮ Stochastic downscaling method: application to wind refinement ⋮ Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs ⋮ Mean-field backward stochastic differential equations and related partial differential equations ⋮ Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications ⋮ A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations ⋮ Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift

This page was built for publication: Some stochastic particle methods for nonlinear parabolic PDEs