Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation

DOI10.1080/07362994.2015.1050559zbMath1328.65228OpenAlexW1524287720MaRDI QIDQ3194569

Reiichiro Kawai

Publication date: 20 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2015.1050559

zbMATH Keywords

stochastic differential equationobstacle problemmixed boundary value problemboundary local timereflected diffusion processFeynman-Kac probabilistic representation

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Error bounds for boundary value problems involving PDEs (65N15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Functional Integration and Partial Differential Equations. (AM-109)
• On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming
• Sequential Control Variates for Functionals of Markov Processes

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