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An interpolated stochastic algorithm for quasi-linear PDEs
Author(s):
François
Delarue;
Stéphane
Menozzi.
Journal:
Math. Comp.
77
(2008),
125-158.
MSC (2000):
Primary 65C30;
Secondary 60H10, 60H35
Posted:
July 26, 2007
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Additional information
Abstract:
In this paper, we improve the forward-backward algorithm for quasi-linear PDEs introduced in Delarue and Menozzi (2006). 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 expectations involved. The resulting bound for the error is closely related to the Hölder exponent of the second order spatial derivatives of the true solution and turns out to be more satisfactory than the one previously established.
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Additional Information:
François
Delarue
Affiliation:
Université Paris 7, UFR de Mathématiques, Case 7012, 2, Place Jussieu, 75251 Paris Cedex 05, France
Email:
delarue@math.jussieu.fr
Stéphane
Menozzi
Affiliation:
Université Paris 7, UFR de Mathématiques, Case 7012, 2, Place Jussieu, 75251 Paris Cedex 05, France
Email:
menozzi@math.jussieu.fr
DOI:
10.1090/S0025-5718-07-02008-X
PII:
S 0025-5718(07)02008-X
Received by editor(s):
March 30, 2006
Received by editor(s) in revised form:
October 31, 2006
Posted:
July 26, 2007
Copyright of article:
Copyright
2007,
American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.
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