Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation

DOI10.1016/j.matcom.2009.12.009zbMath1198.65023OpenAlexW2071276955MaRDI QIDQ974245

B. E. Eshmatov

Publication date: 27 May 2010

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2009.12.009

zbMATH Keywords

numerical examplenonlinear parabolic equationCauchy problemMonte Carlo methodmartingaleunbiased estimatorbranching random process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonlinear parabolic equations (35K55) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• New Monte Carlo methods with estimating derivatives
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