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

DOI10.1093/IMANUM/22.4.599zbMATH Open1018.65006OpenAlexW2041802328MaRDI QIDQ4787677FDOQ4787677

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

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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)

Cited In (12)

• A probabilistic solution of the Neumann problem for the Poisson equation in a Hilbert space domain
• A probabilistic method for numerical solution of quasi-linear parabolic equations
• Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach
• Simulation of stopped diffusions
• A novel study based on Lerch polynomials for approximate solutions of pure Neumann problem
• A probabilistic approach to a non‐local quadratic form and its connection to the Neumann boundary condition problem
• Title not available (Why is that?)
• Probabilistic Approach to Solution of the Neumann Problem for Some Nonlinear Equation
• A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions
• Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
• A probabilistic approach to quasilinear parabolic PDEs with obstacle and Neumann problems
• A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions

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