Concepedia

Rate of Convegence of a Stochastic Particle Method for the Kolmogorov Equation with Variable Coefficients

Pierre Bernard, Denis Talay, Luciano Tubaro

Mathematics of Computation · 1994 · 18 citations · 7 references

Concepts

EngineeringPhysicsProbability TheoryStochastic ModelingStochastic ProcessesDiffusion ProcessesNumerical ConvergenceParticle MethodsStochastic CalculusStochastic Differential EquationsConvergenceDiscretizationKolmogorov Forward EquationNumerical Methods For Stochastic Differential EquationsRandom Error AnalysisStochastic Particle SystemsTime Discretization

Abstract

Pierre Bernard, Denis Talay, Luciano Tubaro, Rate of Convegence of a Stochastic Particle Method for the Kolmogorov Equation with Variable Coefficients, Mathematics of Computation, Vol. 63, No. 208 (Oct., 1994), pp. 555-587

References

7

Approximate Integration of Stochastic Differential Equations

G. N. Mil’shtejn · Theory of Probability and Its Applications · 1975 · 490 citations

Engineering, Mathematics, Differential Equations +13

Generation of analytic semigroups by strongly elliptic operators

H.B. Stewart · Transactions of the American Mathematical Society · 1974 · 206 citations

Natural Sciences, Computational Engineering, Computational Fluid Dynamics +14

KPP equation and supercritical branching brownian motion in the subcritical speed area. Application to spatial trees

Brigitte Chauvin, Alain Rouault · Probability Theory and Related Fields · 1988 · 148 citations · Full text

Engineering, Decision Sciences, Stochastic Processes +9

Generation of Analytic Semigroups by Elliptic Operators with Unbounded Coefficients

Piermarco Cannarsa, Vincenzo Vesprı · SIAM Journal on Mathematical Analysis · 1987 · 45 citations

Natural Sciences, Mathematics, Differential Equations +9

Supercritical Branching Brownian Motion and K‐P‐P Equation In the Critical Speed‐Area

B. Chauvin, Alain Rouault · Mathematische Nachrichten · 1990 · 44 citations

Engineering, Physics, Probability Theory +13