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A stochastic particle method for some one-dimensional nonlinear p.d.e

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  • Bossy, Mireille
  • Talay, Denis

Abstract

We consider the one-dimensional nonlinear P.D.E. in the weak sense: When the initial condition is a probability on R, the solution Ut is the distribution of the random variable Xt where (Xt) is a nonlinear stochastic process in the sense of McKean.

Suggested Citation

  • Bossy, Mireille & Talay, Denis, 1995. "A stochastic particle method for some one-dimensional nonlinear p.d.e," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 43-50.
    • Handle: RePEc:eee:matcom:v:38:y:1995:i:1:p:43-50
    DOI: 10.1016/0378-4754(93)E0065-D
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    References listed on IDEAS

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    1. Meleard, Sylvie & Roelly-Coppoletta, Sylvie, 1987. "A propagation of chaos result for a system of particles with moderate interaction," Stochastic Processes and their Applications, Elsevier, vol. 26, pages 317-332.
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    Cited by:

    1. Belaribi, Nadia & Cuvelier, François & Russo, Francesco, 2011. "A probabilistic algorithm approximating solutions of a singular PDE of porous media type," Monte Carlo Methods and Applications, De Gruyter, vol. 17(4), pages 317-369, December.

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