An algorithm for probabilistic solution of parabolic PDEs

DOI10.1080/07474946.2021.2010403OpenAlexW4200064479WikidataQ114100211 ScholiaQ114100211MaRDI QIDQ5861989

Khedidja Djaballah, M. Haneche, Kais Khaldi

Publication date: 3 March 2022

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2021.2010403

zbMATH Keywords

stochastic differential equationsMonte Carlo methodquasi-Monte Carlo methodparabolic PDEsFeynman-Kacpseudorandom numberweak-discrepancy sequences

Mathematics Subject Classification ID

Sequential statistical methods (62Lxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Monte-Carlo methods for the transport and diffusion equations
• A particle method for some parabolic equations
• A random walk on rectangles algorithm
• Monte Carlo and quasi-Monte Carlo sampling
• Power of the Sequential Monte Carlo Test
• Generating Quasi-Random Paths for Stochastic Processes
• A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
• The distribution of brownian motion on linear stopping boundaries
• Diffusions and Elliptic Operators
• Introduction to Stochastic Calculus and to the Resolution of PDEs Using Monte Carlo Simulations

This page was built for publication: An algorithm for probabilistic solution of parabolic PDEs