Monte Carlo estimation of the solution of fractional partial differential equations

DOI10.1515/fca-2021-0012zbMath1488.65533arXiv2012.13904OpenAlexW3133701390WikidataQ115236501 ScholiaQ115236501MaRDI QIDQ2020233

Vassili N. Kolokol'tsov, Aleksandar Mijatović, Feng Lin

Publication date: 23 April 2021

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.13904

zbMATH Keywords

simulationcentral limit theoremstable processBerry-Esseen boundsMonte-Carlo estimationnumerical solution of fractional PDE

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Fractional derivatives and integrals (26A33) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Stable stochastic processes (60G52) Fractional ordinary differential equations (34A08) Fractional partial differential equations (35R11) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (1)

Abstract McKean-Vlasov and Hamilton-Jacobi-Bellman equations, their fractional versions and related forward-backward systems on Riemannian manifolds

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