A probabilistic method for numerical solution of quasi-linear parabolic equations
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.
scientific article; zbMATH DE number 5192414