Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
Probability
2016-08-03 v1
Abstract
We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinear Partial Differential equations (PDEs). We propose an original interacting particle system for which we discuss the propagation of chaos. We consider a time-discretized approximation of this particle system to which we associate a random function which is proved to converge to a solution of a regularized version of a nonlinear PDE.
Keywords
Cite
@article{arxiv.1608.00832,
title = {Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations},
author = {Anthony Le Cavil and Nadia Oudjane and Francesco Russo},
journal= {arXiv preprint arXiv:1608.00832},
year = {2016}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1504.03882