Convergence of a stochastic particle approximation for fractional scalar conservation laws

DOI10.1016/J.SPA.2011.01.012zbMATH Open1222.82059arXiv1006.4047OpenAlexW2087395082MaRDI QIDQ544501FDOQ544501

Authors: Benjamin Jourdain, Raphaël Roux 

Publication date: 15 June 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by L'evy alpha-stable processes and interacting with their drift through their empirical cumulative distribution function. We show convergence to the solution for the associated Euler scheme.

Full work available at URL: https://arxiv.org/abs/1006.4047

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zbMATH Keywords

conservation lawsEuler schemeinteracting particle systemsnonlinear parabolic equationsstochastic partial methods\(\alpha \)-stable Lévy processes

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Hyperbolic conservation laws (35L65) Stochastic particle methods (65C35) Interacting particle systems in time-dependent statistical mechanics (82C22)

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Cited In (12)

• Efficient numerical schemes for fractional water wave models
• A multitype sticky particle construction of Wasserstein stable semigroups solving one-dimensional diagonal hyperbolic systems with large monotonic data
• Explicit representations for multiscale Lévy processes and asymptotics of multifractal conservation laws
• Probabilistic gradient approximation for a viscous scalar conservation law in space dimension d≥2
• Linearized difference schemes for a BBM equation with a fractional nonlocal viscous term
• On a stochastic nonlocal conservation law in a bounded domain
• Fractional diffusion limit for a fractional Vlasov-Fokker-Planck equation
• Decaying turbulence for the fractional subcritical Burgers equation
• Convergence of approximations to stochastic scalar conservation laws
• Probabilistic approximation and inviscid limits for one-dimensional fractional conservation laws
• Optimal rate of convergence of a stochastic particle method to solutions of 1D viscous scalar conservation laws
• On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players

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