Abstract
A new class of stochastic finite difference methods for the solution of hyperbolic partial differential equations is introduced. They are monotonicity preserving, unconditionally stable and grid free. The numerical results presented show the convergence of these methods. They also evidence the simplicity, robustness and universality of the Monte Carlo approach.
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© 1989 Friedr. Vieweg & Sohn Verlagsgesellschaft mbH, Braunschweig
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Marshall, G. (1989). Monte Carlo Finite Difference Methods for the Solution of Hyperbolic Equations. In: Ballmann, J., Jeltsch, R. (eds) Nonlinear Hyperbolic Equations — Theory, Computation Methods, and Applications. Notes on Numerical Fluid Mechanics, vol 24. Vieweg+Teubner Verlag. https://doi.org/10.1007/978-3-322-87869-4_40
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DOI: https://doi.org/10.1007/978-3-322-87869-4_40
Publisher Name: Vieweg+Teubner Verlag
Print ISBN: 978-3-528-08098-3
Online ISBN: 978-3-322-87869-4
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