scientific article; zbMATH DE number 933356

zbMATH Open0854.65116MaRDI QIDQ4895010FDOQ4895010

Authors: Denis Talay 

Publication date: 22 January 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

convergenceerror boundsBurgers equationintegro-differential equationsMonte-Carlo methodsnonlinear evolution problemsMcKean-Vlasov equationsconvection-reaction-diffusion equationsstochastic particles methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Integro-partial differential equations (45K05) Numerical methods for integral equations (65R20) Nonlinear parabolic equations (35K55) Reaction-diffusion equations (35K57) KdV equations (Korteweg-de Vries equations) (35Q53) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Applications to the sciences (65Z05)

Cited In (32)

• Stochastic downscaling method: application to wind refinement
• Analysis of splitting methods for reaction-diffusion problems using stochastic calculus
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• STOCHASTIC SOLUTION OF CAUCHY QUASILINEAR SCHEME AND ALVAREZ-LIONS-MOREL ANISOTROPIC DIFFUSION PDE
• A modern retrospective on probabilistic numerics
• Adaptive schemes for the numerical solution of SDEs -- a comparison
• Probabilistically induced domain decomposition methods for elliptic boundary-value problems
• Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
• Asymptotic properties of Monte Carlo estimators of diffusion processes
• Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
• Monte Carlo estimation of the solution of fractional partial differential equations
• A splitting-step algorithm for reflected stochastic differential equations in \(\mathbb R^1_+\)
• Weak convergence of a fully discrete approximation of a linear stochastic evolution equation with a positive-type memory term
• Weak order for the discretization of the stochastic heat equation
• Weak approximation of stochastic partial differential equations: the nonlinear case
• Title not available (Why is that?)
• On probabilistic analytical and numerical approaches for divergence form operators with discontinuous coefficients
• Some remarks on the numerical approximation of stochastic differential equations
• Analysis of the Monte-Carlo error in a hybrid semi-Lagrangian scheme
• Probabilistic analysis of numerical integration algorithms
• Wind simulation refinement: some new challenges for particle methods
• Order conditions for sampling the invariant measure of ergodic stochastic differential equations on manifolds
• Weak backward error analysis for Langevin process
• First-order weak balanced schemes for stochastic differential equations
• Corrections to Probabilistic analysis of numerical methods for integral equations
• Efficient parallel solution of nonlinear parabolic partial differential equations by a probabilistic domain decomposition
• A stochastic particle method with random weights for the computation of statistical solutions of McKean-Vlasov equations
• Numerical solution of conservative finite-dimensional stochastic Schrödinger equations
• Convergence of the stochastic Euler scheme for locally Lipschitz coefficients
• Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
• Title not available (Why is that?)
• Euler scheme and tempered distributions

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