Parabolic Schemes for Quasi-Linear Parabolic and Hyperbolic PDEs via Stochastic Calculus
DOI10.1080/07362994.2012.628914zbMath1243.60055OpenAlexW2127777465MaRDI QIDQ3119083
Emmanuel Lépinette-Denis, Sébastien Darses
Publication date: 7 March 2012
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2012.628914
Feynman-Kac formulaGirsanov theoremviscosity methodquasi-linear first order hyperbolic PDEquasi-linear parabolic PDE
Applications of stochastic analysis (to PDEs, etc.) (60H30) Hyperbolic equations and hyperbolic systems (35L99) Parabolic equations and parabolic systems (35K99) Quasilinear parabolic equations (35K59) First-order hyperbolic equations (35L02)
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