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Interacting diffusions approximating the porous medium equation and propagation of chaos

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  • Philipowski, Robert

Abstract

We study a system of interacting diffusions and show that for a large number of particles its empirical measure approximates the solution of the porous medium equation. Furthermore we prove propagation of chaos.

Suggested Citation

  • Philipowski, Robert, 2007. "Interacting diffusions approximating the porous medium equation and propagation of chaos," Stochastic Processes and their Applications, Elsevier, vol. 117(4), pages 526-538, April.
    • Handle: RePEc:eee:spapps:v:117:y:2007:i:4:p:526-538
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    References listed on IDEAS

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    1. Jourdain, B., 2000. "Probabilistic approximation for a porous medium equation," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 81-99, September.
    2. Feng, Shui & Iscoe, Ian & Seppäläinen, Timo, 1997. "A microscopic mechanism for the porous medium equation," Stochastic Processes and their Applications, Elsevier, vol. 66(2), pages 147-182, March.
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    Cited by:

    1. Belaribi, Nadia & Cuvelier, François & Russo, Francesco, 2011. "A probabilistic algorithm approximating solutions of a singular PDE of porous media type," Monte Carlo Methods and Applications, De Gruyter, vol. 17(4), pages 317-369, December.

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