New Challenges for the Simulation of Stochastic Processes

Denis Talay ()
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Denis Talay: INRIA

A chapter in Monte Carlo and Quasi-Monte Carlo Methods 2002, 2004, pp 115-127 from Springer

Abstract: Summary In this paper we introduce some recent results and some interesting challenging questions concerning the probabilistic numerical methods for linear and nonlinear partial differential equations.

Keywords: Stochastic Differential Equation; Neumann Boundary Condition; Burger Equation; Global Error; Nonlinear Partial Differential Equation (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-18743-8_6

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DOI: 10.1007/978-3-642-18743-8_6

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