Rate of Convegence of a Stochastic Particle Method for the Kolmogorov Equation with Variable Coefficients

DOI10.2307/2153283zbMath0810.35002OpenAlexW2003338920MaRDI QIDQ4317661

Denis Talay, Luciano Tubaro, Pierre Bernard

Publication date: 20 December 1994

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

Full work available at URL: https://doi.org/10.2307/2153283

zbMATH Keywords

rate of convergencestochastic representation formulasimilar stochastic particle method

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Reaction-diffusion equations (35K57) Diffusion processes (60J60) Theoretical approximation in context of PDEs (35A35) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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