Abstract
Using probabilistic representations together with Monte Carlo methods, a complex multi-dimensional problem for partial differential equations can be reduced to the Cauchy problem for a system of SDEs. The last system, which contains one independent variable only, arises as a characteristic system of the considered problems for PDEs.
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© 2004 Springer-Verlag Berlin Heidelberg
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Milstein, G.N., Tretyakov, M.V. (2004). Weak approximation for stochastic differential equations. In: Stochastic Numerics for Mathematical Physics. Scientific Computation. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-10063-9_2
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DOI: https://doi.org/10.1007/978-3-662-10063-9_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-05930-8
Online ISBN: 978-3-662-10063-9
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