A probabilistic method for numerical solution of quasi-linear parabolic equations
type: Item
instance of: scholarly article
title: A probabilistic method for numerical solution of quasi-linear parabolic equations
zbMATH Open document ID: 1153.65009
author: Wei Gu
published in: Applied Mathematics and Computation
publication date: 2007-09-19T00:00:00Z
review text: The author presents a numerical method for the solution of quasi-linear parabolic equations. The method is of probabilistic background and generalizes the layer method sugested by \textit{G. N. Milstein} [Numer. Methods Partial Differ. Equations 18, No. 4, 490--522 (2002; Zbl 1014.65005)]. Numerical examples are provided.
reviewed by: Eckhard Platen
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 35K20
zbMATH DE Number: 5192414
zbMATH Keywords: quasi-linear parabolic equations
zbMATH Keywords: numerical solution
zbMATH Keywords: layer method
zbMATH Keywords: weak convergence
MaRDI profile type: MaRDI publication profile
full work available at URL: j.amc.2007.01.005
OpenAlex ID: W2029084721
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DOI: 10.1016/J.AMC.2007.01.005
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description: scientific article; zbMATH DE number 5192414