SOLVING MULTIDIMENSIONAL PROBLEMS WITH A WEAK APPROXIMATION METHOD
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Abstract
This paper examines the problem of solving multidimensional problems using the weak approximation method.
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References
On the solution of an inverse problem for a multidimensional parabolic equation. I. V. Frolenkov, G. V. Romanenko, Siberian Federal University, Krasnoyarsk, Russia.
Yanenko, N. N., & Demidov, G. V. (1966). Investigation of the Cauchy problem by the method of weak approximation. In Doklady Akademii Nauk (Vol. 167, No. 6, pp. 1242-1244). Russian Academy of Sciences.
Journal of Computational and Applied Mathematics, Journal of Computational and Applied Mathematics, A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights, Volume 321, September 2017, Pages 427-447
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