An interpolated stochastic algorithm for quasi-linear PDEs

DOI10.1090/S0025-5718-07-02008-XzbMath1131.65002OpenAlexW4297824791MaRDI QIDQ5429493

Stéphane Menozzi, François Delarue

Publication date: 30 November 2007

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0025-5718-07-02008-x

zbMATH Keywords

convergenceBrownian motionstochastic differential equationsquasilinear parabolic equationsforward-backward algorithmtime-space discretizationsquare Gaussian quantization

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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