scientific article

zbMath0968.65005MaRDI QIDQ2702620

Denis Talay

Publication date: 24 September 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo methodparabolic equationEuler methodpartial differential equationsLyapunov exponentstochastic particle methodsprobabilistic numerical methodssimulation of stochastic processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Initial value problems for second-order parabolic equations (35K15) Stochastic particle methods (65C35)

Related Items (1)

Some remarks on the numerical approximation of stochastic differential equations

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