Simulation algorithms for the second-order parabolic Cauchy problem

DOI10.3103/S1063454111030095zbMath1255.65015MaRDI QIDQ1759530

Alexander Sipin

Publication date: 21 November 2012

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

zbMATH Keywords

Cauchy problemMonte Carlo algorithmsecond-order parabolic equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Initial value problems for second-order parabolic equations (35K15) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (1)

Statistical algorithms for solving the Cauchy problem for second-order parabolic equations: the ``dual scheme

Cites Work

• Stochastic iterative methods for solving equations of parabolic type

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