Geodesic
Some stochastic particle methods for nonlinear parabolic PDEs
Mireille Bossy1
1 INRIA 2004 Route des Lucioles, B.P. 93 06902 Sophia-Antipolis Cedex France
ESAIM. Proceedings, Tome 15 (2005), pp. 18-57.

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We introduce, on some examples, the main tools to analyze the convergence rate of stochastic particle methods for the numerical approximation of some nonlinear parabolic PDEs. We treat the case of Lipschitz coefficients as well as the case of viscous scalar conservation laws. We also discuss some particular aspects like the case of a bounded spatial domain or the use of a Romberg extrapolation as a speed up procedure.
DOI : 10.1051/proc:2005019

Mireille Bossy 1

1 INRIA 2004 Route des Lucioles, B.P. 93 06902 Sophia-Antipolis Cedex France 
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     title = {Some stochastic particle methods for nonlinear parabolic {PDEs}},
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Mireille Bossy. Some stochastic particle methods for nonlinear parabolic PDEs. ESAIM. Proceedings, Tome 15 (2005), pp. 18-57. doi : 10.1051/proc:2005019. http://geodesic.mathdoc.fr/articles/10.1051/proc:2005019/

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