Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations

(1, 2) , (3, 2) , (1, 4)
1
2
3
4

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.
Fichier principal
Vignette du fichier
NonConservativePDEPart2RevisedSPDE_SubmittedAugust2016.pdf (357.94 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-01241704 , version 1 (10-12-2015)
hal-01241704 , version 2 (02-08-2016)

Identifiers

Cite

Anthony Le Cavil, Nadia Oudjane, Francesco Russo. Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations. 2016. ⟨hal-01241704v2⟩
219 View
232 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More