Spatial filter averaging approach of probabilistic method to linear second-order partial differential equations of the parabolic type

DOI10.1016/j.jcp.2012.08.035zbMath1286.65137OpenAlexW2052060040MaRDI QIDQ2449732

Igor Mezić, Sophie Loire

Publication date: 12 May 2014

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2012.08.035

zbMATH Keywords

numerical methodsparabolic equationprobabilisticspatial filteringbackward

Mathematics Subject Classification ID

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) Second-order parabolic equations (35K10) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)