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One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times
2.	Creator	Author's name, affiliation, country	Miguel Martinez; Université Paris-Est - Marne-la-Vallée; France
2.	Creator	Author's name, affiliation, country	Denis Talay; INRIA Sophia Antipolis; France
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Stochastic Differential Equations; Divergence Form Operators; Euler discretization scheme; Monte Carlo methods
3.	Subject	Subject classification	60H10;65U05
4.	Description	Abstract	In this paper we consider one-dimensional partial differential equations of parabolic type involving a divergence form operator with a discontinuous coefficient and a compatibility transmission condition. We prove existence and uniqueness result by stochastic methods which also allow us to develop a low complexity Monte Carlo numerical resolution method. We get accurate pointwise estimates for the derivatives of the solutionfrom which we get sharp convergence rate estimates for our stochastic numerical method.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2012-03-29
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/1905
10.	Identifier	Digital Object Identifier	10.1214/EJP.v17-1905
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 17
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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