A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations

DOI10.1093/IMANUM/22.4.599MaRDI QIDQ4787677zbMATH OpenOpenAlexFDO

Authors M. V. Tretyakov, Grigori N. Milstein

Publication date 25 August 2003

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/ae2a185da6cd84fd10b11dd6c185ea35995e946c

zbMATH Keywords

algorithmsconvergenceBurgers equationstochastic differential equationsNeumann problemnonlinear parabolic equationsweak approximationsprobabilistic representationslayer methodsnumerical methods for parabolic equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonlinear parabolic equations (35K55) KdV equations (Korteweg-de Vries equations) (35Q53) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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