Solution algorithm for parabolic equation by simulating stochastic processes

DOI10.1002/NUM.1690050303zbMATH Open0676.65146OpenAlexW1988405279WikidataQ115399696 ScholiaQ115399696MaRDI QIDQ3832032FDOQ3832032

Authors:

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1002/num.1690050303

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zbMATH Keywords

rate of convergencestochastic differential equationsparabolic equationstochastic integralsstochastic process

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05)

Cites Work

• Functional Integration and Partial Differential Equations. (AM-109)

Cited In (6)

• Title not available (Why is that?)
• Application of stochastic equivalence for solving parabolic partial differential equations
• Title not available (Why is that?)
• Solving partial differential equation via stochastic process
• Algorithmic solution of stochastic differential equations
• Title not available (Why is that?)

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