Convergence of a stochastic particle approximation for fractional scalar conservation laws

DOI10.1016/J.SPA.2011.01.012MaRDI QIDQ544501zbMATH OpenOpenAlexFDO

Authors Benjamin Jourdain, Raphaël Roux

Publication date 15 June 2011

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

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

zbMATH Keywords

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

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)

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.

Review text

The authors are interested in a probabilistic approximation of the solution to scalar conservation laws with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation is based on a stochastic differential equation driven by an \(\alpha \)-stable Lévy process and involving a nonlinear drift. The approximation is constructed using a system of particles following a time-discretized version of this stochastic differential equation, with nonlinearity replaced by interaction. The authors prove convergence of the particle approximation to the solution of the conservation law as the number of particles tends to infinity whereas the discretization step tends to 0 in some precise asymptotics.

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Cited in

(12)

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

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