Solving Dirichlet problems numerically using the Feynman-Kac representation (Q1431660): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 17:59, 31 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving Dirichlet problems numerically using the Feynman-Kac representation |
scientific article |
Statements
Solving Dirichlet problems numerically using the Feynman-Kac representation (English)
0 references
11 June 2004
0 references
The authors consider the numerical solutions of the Dirichlet problem in high dimensions. By exploiting the Feynman-Kac formula Monte Carlo simulations of the underlying solutions of stochastic differential equations are performed. This involves the approximation of exit times and process values at the boundary. The walk on cubes method is studied and comparisons are made with Milstein's walk on spheres.
0 references
stochastic differential equations
0 references
Monte Carlo simulation
0 references
Dirichlet problem
0 references
Feynman-Kac formula
0 references
comparison of methods
0 references
walk on cubes method
0 references
Milstein's walk on spheres
0 references
