A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations

IMA Journal of Numerical Analysis

Volumn 22, Issue 4, 2002, Pages 599-622

  Milstein, G N ^a,c   Tretyakov, M V ^b,d  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b INSTITUTE OF MATHEMATICS AND MECHANICS   (Russian Federation)

^c URAL FEDERAL UNIVERSITY   (Russian Federation)

^d UNIVERSITY OF LEICESTER   (United Kingdom)

Author keywords

Numerical methods for parabolic equations; Probabilistic representations; Weak approximation of stochastic differential equations

Indexed keywords

BOUNDARY VALUE PROBLEMS; NUMERICAL METHODS; PARTIAL DIFFERENTIAL EQUATIONS; STOCHASTIC SYSTEMS;

CONVERGENCE THEOREM; NONLINEAR PARABOLIC EQUATIONS; NUMERICAL INTEGRATION OF STOCHASTIC DIFFERENTIAL EQUATIONS; PARABOLIC EQUATIONS; PROBABILISTIC APPROACHES; PROBABILISTIC REPRESENTATION; SEMILINEAR PARABOLIC EQUATION; STOCHASTIC DIFFERENTIAL EQUATIONS;

NONLINEAR EQUATIONS;

EID: 0036031941     PISSN: 02724979     EISSN: None     Source Type: Journal    
DOI: 10.1093/imanum/22.4.599     Document Type: Article

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