Computing the principal eigenvalue of the Laplace operator by a stochastic method

DOI10.1016/J.MATCOM.2006.06.011zbMath1110.65105OpenAlexW2153856456MaRDI QIDQ870438

Antoine Lejay, Sylvain Maire

Publication date: 12 March 2007

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00092408/file/lejay-maire.pdf

zbMATH Keywords

numerical examplesMonte Carlo methodrandom walk on spheresEuler scheme for Brownian motionfirst eigenvalue of the Dirichlet problemrandom walk on rectangles

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Estimates of eigenvalues in context of PDEs (35P15) Numerical methods for eigenvalue problems for boundary value problems involving PDEs (65N25)

Related Items (8)

Simulating diffusion processes in discontinuous media: benchmark tests ⋮ Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning ⋮ Simulating diffusions with piecewise constant coefficients using a kinetic approximation ⋮ The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain ⋮ Computing the principal eigenelements of some linear operators using a branching Monte Carlo method ⋮ A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers ⋮ 3D positive lattice walks and spherical triangles ⋮ A weighted eigenvalue problem of the biased infinity Laplacian ^*

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