A probabilistic method for numerical solution of quasi-linear parabolic equations (Q2383720)
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| Language | Label | Description | Also known as |
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| English | A probabilistic method for numerical solution of quasi-linear parabolic equations |
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A probabilistic method for numerical solution of quasi-linear parabolic equations (English)
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19 September 2007
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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.
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quasi-linear parabolic equations
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numerical solution
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layer method
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weak convergence
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