Stochastic viscosity approximations of Hamilton–Jacobi equations and variance reduction
From MaRDI portal
Publication:6050023
DOI10.1051/m2an/2023042zbMath1523.35124arXiv2111.10819MaRDI QIDQ6050023
Publication date: 18 September 2023
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2111.10819
Monte Carlo methodsHamilton-Jacobi equationsvariance reductionFeynman-Kac formulaviscosity solutions
Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Hamilton-Jacobi equations (35F21)
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