Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

DOI10.1007/S40072-016-0079-9MaRDI QIDQ523374zbMATH OpenOpenAlexFDO

Authors Anthony Le Cavil, Nadia Oudjane, Francesco Russo

Publication date 20 April 2017

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.00832

zbMATH Keywords

convergencenumerical examplesnonlinear partial differential equationsparticle systemsChaos propagationMcKean-type nonlinear stochastic differential equationprobabilistic representation of PDE

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random integral equations (45R05) Stochastic integral equations (60H20)

Abstract: We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinear Partial Differential equations (PDEs). We propose an original interacting particle system for which we discuss the propagation of chaos. We consider a time-discretized approximation of this particle system to which we associate a random function which is proved to converge to a solution of a regularized version of a nonlinear PDE.

Recommendations

• scientific article; zbMATH DE number 1971700
• Some stochastic particle methods for nonlinear parabolic PDEs
• A stochastic particle method for some one-dimensional nonlinear p.d.e
• Analytical approximations of non-linear SDEs of McKean-Vlasov type
• A stochastic particle method for the McKean-Vlasov and the Burgers equation

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1121855 (Why is no real title available?)
• scientific article; zbMATH DE number 1978554 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• scientific article; zbMATH DE number 933356 (Why is no real title available?)
• scientific article; zbMATH DE number 3078316 (Why is no real title available?)
• A numerical algorithm for a class of BSDEs via the branching process
• A probabilistic algorithm approximating solutions of a singular PDE of porous media type
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• A stochastic particle method for some one-dimensional nonlinear p.d.e
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• Adapted solution of a backward stochastic differential equation
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Ecole d'été de probabilités de Saint-Flour XIX, France, du 16 août au 2 septembre 1989
• Mean field simulation for Monte Carlo integration
• Probabilistic Approximation of a Nonlinear Parabolic Equation Occurring in Rheology
• Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation
• Probabilistic representation of a class of non-conservative nonlinear partial differential equations
• Propagation of chaos and fluctuations for a moderate model with smooth initial data
• Rate of convergence of a particle method for the solution of a 1D viscous scalar conservation law in a bounded interval
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Stochastic differential equations, backward SDEs, partial differential equations
• Stochastic optimal control. The discrete time case
• Weak rate of convergence for an Euler scheme of nonlinear SDE’s

Cited in

(8)

• An overview on deep learning-based approximation methods for partial differential equations
• Probabilistic representation of a class of non-conservative nonlinear partial differential equations
• Forward Feynman-Kac type representation for semilinear non-conservative partial differential equations
• Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations
• McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
• Fokker-Planck equations with terminal condition and related McKean probabilistic representation
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
• McKean SDEs with singular coefficients

This page was built for publication: Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q523374)