Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws
DOI10.1090/S0025-5718-03-01551-5zbMATH Open1041.65015OpenAlexW2018457890MaRDI QIDQ4452161FDOQ4452161
Publication date: 12 February 2004
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0025-5718-03-01551-5
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convergenceerror boundsnumerical examplesconservation lawsRomberg extrapolationpropagation of chaosnonlinear martingale problemstochastic particle methodweakly interacting particles
Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Hyperbolic conservation laws (35L65) Stochastic particle methods (65C35) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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- A stochastic particle method for the McKean-Vlasov and the Burgers equation
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- Diffusion processes associated with nonlinear evolution equations for signed measures
- Weak rate of convergence for an Euler scheme of nonlinear SDE’s
- COMPARISON OF A STOCHASTIC PARTICLE METHOD AND A FINITE VOLUME DETERMINISTIC METHOD APPLIED TO BURGERS EQUATION
- A propagation of chaos result for a system of particles with moderate interaction
Cited In (10)
- A stochastic particle method for the solution of a 1D viscous scalar conservation law in a bounded interval
- Convergence rate of the Sherman and Peskin branching stochastic particle method
- Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws
- Rate of Convegence of a Stochastic Particle Method for the Kolmogorov Equation with Variable Coefficients
- Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval
- Convergence of a stochastic particle approximation for fractional scalar conservation laws
- Direct simulation of the infinitesimal dynamics of semi-discrete approximations for convection-diffusion-reaction problems
- Importance sampling for McKean-Vlasov SDEs
- Optimal Rate of Convergence for Anisotropic Vanishing Viscosity Limit of a Scalar Balance Law
- Iterative multilevel particle approximation for McKean-Vlasov SDEs
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