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Rate of convergence of a stochastic particle method for the Kolmogorov equation with variable coefficients
1994
Mathematics of Computation
In a recent paper, E. G. Puckett proposed a stochastic particle method for the nonlinear diffusion-reaction PDE in [0, T]xR (the so-called "KPP" (Kolmogorov-Petrovskii-Piskunov) equation): where 1 -Mr, is the cumulative function, supposed to be smooth enough, of a probability distribution, and / is a function describing the reaction. His justification of the method and his analysis of the error were based on a splitting of the operator A . He proved that, if h is the time discretization step
doi:10.1090/s0025-5718-1994-1250770-3
fatcat:4uhzxtnla5crto45ojp6ayuov4