Stochastic analysis and conservation laws
Stochastic analysis is applied to the Cauchy problem for a scalar conservation law \(u_t + f(u)_x = 0\) by using a ``vanishing viscosity method. It is proved that the stochastic characteristic of the equation \(u_t + f(u)_x + \mu u_{xx} = 0\) converges to the characteristic of the equation \(u_t + f(u)_x = 0\). In this way a well-known result is recovered, i.e. the solution of \(u_t + f(u)_x + \mu u_{xx} = 0\) converges to the entropy solution of \(u_t + f(u)_x = 0\) as \(\mu \to 0\). This result illustrates the usefulness of stochastic methods in solving difficult problems concerning quasi-linear partial differential equations.
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