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| HAL : hal-00493773, version 1 |
| arXiv : 1006.4047 |
| DOI : 10.1016/j.spa.2011.01.012 |
| Fiche détaillée |  Récupérer au format |
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| Stochastic Processes and their Applications 121, 5 (2011) 957-988 |
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| Convergence of a stochastic particle approximation for fractional scalar conservation laws |
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| Benjamin Jourdain 1Raphaël Roux 1 |
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| (05/2011) |
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| 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. |
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| 1 : | Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique (CERMICS) |
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INRIA – Ecole des Ponts ParisTech |
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| CERMICS (École des Ponts Paristech) |
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| Domaine | : | Mathématiques/Probabilités Mathématiques/Equations aux dérivées partielles |
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| nonlinear partial differential equation – interacting particle system – Euler scheme – alpha-stable Lévy process |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00493773, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00493773 | |
| oai:hal.archives-ouvertes.fr:hal-00493773 | |
| Contributeur : Raphaël Roux | |
| Soumis le : Lundi 21 Juin 2010, 13:15:06 | |
| Dernière modification le : Vendredi 2 Mars 2012, 18:28:33 | |
