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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2006, Volume 46, Number 3, Pages 421–432 (Mi zvmmf499)  
Application of stochastic equivalence for solving parabolic partial differential equations

V. V. Khutortsev

Rostov Military Higher Engineering School of Missile Corps, Rostov-on-Don, 344027, Russia
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Abstract: An approach to solving parabolic partial differential equations based on the method of stochastic characteristics is proposed. The method allows decomposition of the numerical procedure into separate unified blocks. The approximation error and the efficiency of the method are evaluated. An example is given.
Key words: parabolic differential equations, stochastic equivalence, approximate solution, decomposition of numerical process.
Received: 28.05.2004
Revised: 24.05.2005
English version:
Computational Mathematics and Mathematical Physics, 2006, Volume 46, Issue 3, Pages 402–412
DOI: https://doi.org/10.1134/S0965542506030079
Bibliographic databases:
Document Type: Article
UDC: 519.676
Language: Russian
Citation: V. V. Khutortsev, “Application of stochastic equivalence for solving parabolic partial differential equations”, Zh. Vychisl. Mat. Mat. Fiz., 46:3 (2006), 421–432; Comput. Math. Math. Phys., 46:3 (2006), 402–412
Citation in format AMSBIB
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