Rapport (Rapport De Recherche) Année : 2000

Optimal Rate of Convergence of a Stochastic Particle Method to Solutions of 1D Viscous Scalar Conservation Law Equations

Mireille Bossy

Résumé

The aim of this work is to present the analysis of the rate of convergence of a stochastic particle method for 1D viscous scalar conservation law equations. The convergence rate result is $\mathcal O(\D t + 1/\sqrt{N})$, where $N$ is the number of numerical particles and $\D t$ is the time step of the first order Euler scheme applied to the dynamic of the interacting particles.

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inria-00072728 , version 1 (24-05-2006)

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  • HAL Id : inria-00072728 , version 1

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Mireille Bossy. Optimal Rate of Convergence of a Stochastic Particle Method to Solutions of 1D Viscous Scalar Conservation Law Equations. [Research Report] RR-3924, INRIA. 2000, pp.33. ⟨inria-00072728⟩
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