An Unbiased Itô Type Stochastic Representation for Transport PDEs: A Toy Example

DOI10.1007/978-3-030-22285-7_8zbMath1501.65153arXiv1804.03563OpenAlexW2970597882MaRDI QIDQ5038297

Greig Smith, Gonçalo dos Reis

Publication date: 30 September 2022

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.03563

zbMATH Keywords

Monte Carlo methodsregime switching diffusionprobabilistic methods for PDEs

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Perturbations in context of PDEs (35B20) Transport equations (35Q49) Regularization by noise (60H50)

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