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A probabilistic algorithm approximating solutions of a singular PDE of porous media type

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  • Belaribi, Nadia
  • Cuvelier, François
  • Russo, Francesco

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  • 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.
    • Handle: RePEc:bpj:mcmeap:v:17:y:2011:i:4:p:317-369:n:2
    DOI: 10.1515/mcma.2011.014
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    References listed on IDEAS

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    1. Bossy, Mireille & Talay, Denis, 1995. "A stochastic particle method for some one-dimensional nonlinear p.d.e," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 43-50.
    2. 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.
    3. Jourdain, B., 2000. "Probabilistic approximation for a porous medium equation," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 81-99, September.
    4. Meleard, Sylvie & Roelly-Coppoletta, Sylvie, 1987. "A propagation of chaos result for a system of particles with moderate interaction," Stochastic Processes and their Applications, Elsevier, vol. 26, pages 317-332.
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