Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization

DOI10.1007/s11075-020-00902-zzbMath1458.65132OpenAlexW3013356817MaRDI QIDQ2220742

Toshihiro Yamada, Kimiki Tokutome

Publication date: 25 January 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-020-00902-z

zbMATH Keywords

parabolic partial differential equationsstochastic differential equationsautomatic differentiationhigher order discretization

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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