A stochastic particle method for some one-dimensional nonlinear p.d.e

Mireille Bossy and Denis Talay

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 43-50

Abstract: We consider the one-dimensional nonlinear P.D.E. in the weak sense: When the initial condition is a probability on R, the solution Ut is the distribution of the random variable Xt where (Xt) is a nonlinear stochastic process in the sense of McKean.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:43-50

DOI: 10.1016/0378-4754(93)E0065-D

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