An interpolated stochastic algorithm for quasi-linear PDEs
نویسندگان
چکیده
منابع مشابه
An interpolated stochastic algorithm for quasi-linear PDEs
In this paper, we improve the forward-backward algorithm for quasi-linear PDEs introduced in Delarue and Menozzi [8]. The new discretization scheme takes advantage of the standing regularity properties of the true solution through an interpolation procedure. For the convergence analysis, we also exploit the optimality of the square Gaussian quantization used to approximate the conditional expec...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 2008
ISSN: 0025-5718,1088-6842
DOI: 10.1090/s0025-5718-07-02008-x