Numerical methods for linear boundary value problems based on Feynman-Kac representations (Q1330672): Difference between revisions
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Latest revision as of 17:00, 22 May 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for linear boundary value problems based on Feynman-Kac representations |
scientific article |
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Numerical methods for linear boundary value problems based on Feynman-Kac representations (English)
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5 January 1995
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Three simulation methods of the Wiener process are described. These methods are applied to the determination of numerical solutions with the Feynman-Kac formula for the Dirichlet problem of an elliptic equation and an initial value problem of a parabolic equation. The results are compared with finite element solutions.
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Wiener process
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Feynman-Kac formula
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Dirichlet problem
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elliptic equation
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initial value problem
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parabolic equation
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finite element
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