On probabilistic analytical and numerical approaches for divergence form operators with discontinuous coefficients

DOI10.1007/978-3-319-02839-2_7MaRDI QIDQ5497098zbMATH OpenOpenAlexFDO

Authors Denis Talay

Publication date 3 February 2015

Published in Advances in Numerical Simulation in Physics and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02839-2_7

Mathematics Subject Classification ID

Boltzmann equations (35Q20) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

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Cites work

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• Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics
• Smooth first-passage densities for one-dimensional diffusions
• Stochastic differential equations for Dirichlet processes
• Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
• The Euler scheme with irregular coefficients
• The Finite Element Approximation of the Nonlinear Poisson–Boltzmann Equation
• Weak convergence of diffusions corresponding to divergence form operators

Cited in

(3)

• Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
• A transformed stochastic Euler scheme for multidimensional transmission PDE
• Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics

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