A transformed stochastic Euler scheme for multidimensional transmission PDE
DOI10.1016/j.cam.2021.113551zbMath1475.65067arXiv1805.11363OpenAlexW3135434554WikidataQ114201999 ScholiaQ114201999MaRDI QIDQ2029425
Publication date: 3 June 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.11363
stochastic differential equationsMonte Carlo methodsdivergence form operatorsEuler discretization scheme
Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Existence problems for PDEs: global existence, local existence, non-existence (35A01) PDEs with randomness, stochastic partial differential equations (35R60) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Classical solutions to PDEs (35A09)
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