Convergence of a Random Particle Method to Solutions of the Kolmogorov Equation u t = νu xx + u(1 - u)

DOI10.2307/2008485zbMath0671.60075OpenAlexW4230449603MaRDI QIDQ3823591

Elbridge Gerry Puckett

Publication date: 1989

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2008485

zbMATH Keywords

rate of convergencesecond-order time discretizationreaction-diffusion equationKolmogorov equationrandom particlesecond-order operator splitting

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Reaction-diffusion equations (35K57) Error bounds for boundary value problems involving PDEs (65N15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Software, source code, etc. for problems pertaining to partial differential equations (35-04) Software, source code, etc. for problems pertaining to numerical analysis (65-04)

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