Numerical study of interacting particles approximation for integro-differential equations

DOI10.1016/J.JCP.2004.12.023MaRDI QIDQ556315zbMATH OpenOpenAlexFDO

Authors Dan Stanescu, Dong-Jin Kim, Wojbor A. Woyczyński

Publication date 13 June 2005

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2004.12.023

zbMATH Keywords

numerical examplesCauchy problemstochastic differential equationsfractional Laplacian operatorpropagation of chaosevolution problemsEuler's methodinteracting particles approximation

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic particle methods (65C35)

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Cites work

• scientific article; zbMATH DE number 193036 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• A Method for Simulating Stable Random Variables
• A stochastic particle method for the McKean-Vlasov and the Burgers equation
• A survey of numerical methods for stochastic differential equations
• COMPARISON OF A STOCHASTIC PARTICLE METHOD AND A FINITE VOLUME DETERMINISTIC METHOD APPLIED TO BURGERS EQUATION
• Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation
• Dynamic Scaling of Growing Interfaces
• Ecole d'été de probabilités de Saint-Flour XIX, France, du 16 août au 2 septembre 1989
• Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
• Fractal Burgers equations
• Global and Exploding Solutions for Nonlocal Quadratic Evolution Problems
• Growing fractal interfaces in the presence of self-similar hopping surface diffusion
• Hermite expansions in Monte-Carlo computation
• Interacting particle approximation for nonlocal quadratic evolution problems
• Numerical solution of SDE through computer experiments. Including floppy disk
• Stochastic differential equations. An introduction with applications.
• The Euler scheme for Lévy driven stochastic differential equations

Cited in

(7)

• scientific article; zbMATH DE number 4080865 (Why is no real title available?)
• The approximate and exact solutions of the space- and time-fractional Burgers equations with initial conditions by variational iteration method
• Matrix approach to discrete fractional calculus. II: Partial fractional differential equations
• Low-storage Runge-Kutta methods for stochastic differential equations
• Efficient numerical calculation of drift and diffusion coefficients in the diffusion approximation of kinetic equations
• Interacting particle approximation for nonlocal quadratic evolution problems
• A numerical method for fractal conservation laws

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Uses Software

• MPI

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