Simulation algorithms for the second-order parabolic Cauchy problem

DOI10.3103/S1063454111030095MaRDI QIDQ1759530zbMATH OpenFDO

Authors Alexander Sipin

Publication date 21 November 2012

Published in Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/S1063454111030095

zbMATH Keywords

Cauchy problemMonte Carlo algorithmsecond-order parabolic equation

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Monte Carlo methods (65C05) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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Cites work

• Stochastic iterative methods for solving equations of parabolic type

Cited in

(4)

• A second-order time-stepping scheme for simulating ensembles of parameterized flow problems
• Statistical algorithms for solving the Cauchy problem for second-order parabolic equations: the ``dual scheme
• scientific article; zbMATH DE number 1343499 (Why is no real title available?)
• The accuracy estimation of Monte-Carlo method for the solution to one singular parabolic equation

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