Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions (Q334322): Difference between revisions

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+Skorokhod problem
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+boundary local time
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+Feynman-Kac formula
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+reflecting Brownian motion
@@ Property / zbMATH Keywords: reflecting Brownian motion / rank @@
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+Brownian motion
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+Laplace equation
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+Robin boundary problem
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+walk on spheres method
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+numerical results
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@@ Property / cites work @@
+The rate of convergence of the walk on spheres algorithm
+Normal rank
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+The heat equation and reflected Brownian motion in time-dependent domains.
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+Green, Brown, and Probability and Brownian Motion on the Line
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+Functional Integration and Partial Differential Equations. (AM-109)
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+On Distributions of Certain Wiener Functionals
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+A Feynman-Kac path-integral implementation for Poisson's equation using an \(h\)-conditioned Green's function
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@@ Property / cites work: Q4039796 / rank @@
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+Stochastic differential equations with reflecting boundary conditions
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+Monte Carlo approximations of the Neumann problem
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+Some Continuous Monte Carlo Methods for the Dirichlet Problem
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+Numerical methods for linear boundary value problems based on Feynman-Kac representations
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+Computation of the local time of reflecting Brownian motion and the probabilistic representation of the Neumann problem
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+Publication:334322