scientific article; zbMATH DE number 2051211

MaRDI QIDQ4453503zbMATHFDO

Authors Denis Talay

Publication date 7 March 2004

zbMATH Keywords

Monte Carlo methodsheat equationMcKean-Vlasov equationstochastic particle methodsprobabilistic numerical methodslinear and nonlinear partial differential equationsfinancial portfolio

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Heat equation (35K05) Other nonlinear integral equations (45G10) Stochastic particle methods (65C35)

Cited in

(1)

• Incorporating Computational Challenges into a Multidisciplinary Course on Stochastic Processes

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