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

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.
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https://hal-ensta-paris.archives-ouvertes.fr/hal-01241704
Contributor : Francesco Russo Connect in order to contact the contributor
Submitted on : Tuesday, August 2, 2016 - 3:55:20 PM
Last modification on : Wednesday, May 11, 2022 - 12:06:06 PM
Long-term archiving on: : Thursday, November 3, 2016 - 5:41:38 PM

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  • HAL Id : hal-01241704, version 2
  • ARXIV : 1608.00832

Citation

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⟩

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