Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation

DOI10.1016/j.amc.2022.127520zbMath1510.65272arXiv2009.10497MaRDI QIDQ6349629

Cristiano Ricci, Franco Flandoli, De Jun Luo

Publication date: 22 September 2020

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

This page was built for publication: Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation