Geodesic
Application of stochastic equivalence for solving parabolic partial differential equations
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 46 (2006) no. 3, pp. 421-432

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An approach to solving parabolic partial differential equations based on the method of stochastic characteristics is proposed. The method allows decomposition of the numerical procedure into separate unified blocks. The approximation error and the efficiency of the method are evaluated. An example is given. 
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     title = {Application of stochastic equivalence for solving parabolic partial differential equations},
     journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
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     volume = {46},
     number = {3},
     year = {2006},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZVMMF_2006_46_3_a6/}
}
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V. V. Khutortsev. Application of stochastic equivalence for solving parabolic partial differential equations. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 46 (2006) no. 3, pp. 421-432. http://geodesic.mathdoc.fr/item/ZVMMF_2006_46_3_a6/