4. Probabilistic interpretation of second-order PDEs
Here, we express solutions of elliptic and parabolic second-order PDEs with various types of edge conditions, as expectations of functionals of properly chosen Markov processes. We refer to for further details and references.
4.1 Interpretation of elliptic PDEs
Let b be of ...
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Probabilistic interpretation of second-order PDEs
Probabilistic interpretation and numerical resolution
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