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Article | REF: A565 V1

Relationship between probabilities and partial differential equations

Author: Jean-Pierre FOUQUE

Publication date: April 10, 1996

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5. Probabilistic interpretation and numerical resolution

In this short paragraph, we show how the probabilistic representations of equation solutions presented in the previous paragraphs can help in the numerical analysis of these equations. On the one hand, they can be used to demonstrate the convergence of PDE discretization schemes by showing that the representation of the solution of the discretized equation (paragraph 1

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Probabilistic interpretation and numerical resolution
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