A probabilistic algorithm approximating solutions of a singular PDE of porous media type

DOI10.1515/mcma.2011.014zbMath1452.65023arXiv1011.3107OpenAlexW1992795553MaRDI QIDQ5388197

Francesco Russo, François Cuvelier, Nadia Belaribi

Publication date: 18 April 2012

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.3107

zbMATH Keywords

monotonicitystochastic differential equationskernel estimatorporous media equationnonparametric density estimationstochastic particle algortithm

Mathematics Subject Classification ID

Density estimation (62G07) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Interacting particle systems in time-dependent statistical mechanics (82C22) Degenerate parabolic equations (35K65) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Diffusion processes (60J60) PDEs with low regular coefficients and/or low regular data (35R05) Stochastic particle methods (65C35)

Related Items

Probabilistic and deterministic algorithms for space multidimensional irregular porous media equation ⋮ Doubly probabilistic representation for the stochastic porous media type equation ⋮ Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations ⋮ Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations ⋮ Stochastic porous media equations in \(\mathbb R^d\)

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