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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2015 Volume 442, Pages 18–47 (Mi znsl6242)

This article is cited in 1 paper

Probabilistic representations and numerical algorithms to construct classical and viscosity solutions of the Cauchy problem for systems of quasilinear parabolic equations

Ya. I. Belopolskaya, E. I. Nemchenko

St. Petersburg State University of Architecture and Civil Engineering, St. Petersburg, Russia

Abstract: We propose two approaches that allow to construct probabilistic representationû of classical and viscosity solutions of the Cauchy problem for systemû of quasilinear parabolic equations. Based on this representations we develop two numerical algorithms to construct the required solutions.

Key words and phrases: stochastic differential equations, systems of quasilinear parabolic equations, classical and viscosity solutions of the Cauchy problem.

UDC: 519.2

Received: 12.11.2015


 English version:
Journal of Mathematical Sciences (New York), 2017, 225:5, 733–750

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