Numerical study of interacting particles approximation for integro-differential equations

DOI10.1016/j.jcp.2004.12.023zbMath1070.65004OpenAlexW2088605415MaRDI QIDQ556315

Dan Stanescu, Dong-Jin Kim, Wojbor A. Woyczyński

Publication date: 13 June 2005

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2004.12.023

zbMATH Keywords

Cauchy problemnumerical examplesstochastic differential equationspropagation of chaosfractional Laplacian operatorevolution problemsEuler's methodinteracting particles approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic particle methods (65C35)

Related Items (4)

The approximate and exact solutions of the space- and time-fractional Burgers equations with initial conditions by variational iteration method ⋮ Low-storage Runge-Kutta methods for stochastic differential equations ⋮ A numerical method for fractal conservation laws ⋮ Matrix approach to discrete fractional calculus. II: Partial fractional differential equations

Uses Software

• MPI

Cites Work

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• A stochastic particle method for the McKean-Vlasov and the Burgers equation
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