Convergence of a stochastic particle approximation for fractional scalar conservation laws
Résumé
We give a probabilistic numerical method for solving a partial differential equation with fractional diffusion and nonlinear drift. The probabilistic interpretation of this equation uses a system of particles driven by Lévy alpha-stable processes and interacting with their drift through their empirical cumulative distribution function. We show convergence to the solution for the associated Euler scheme.
Origine : Fichiers produits par l'(les) auteur(s)
Loading...