Solving Dirichlet problems numerically using the Feynman-Kac representation (Q1431660)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving Dirichlet problems numerically using the Feynman-Kac representation |
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Solving Dirichlet problems numerically using the Feynman-Kac representation (English)
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11 June 2004
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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.
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stochastic differential equations
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Monte Carlo simulation
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Dirichlet problem
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Feynman-Kac formula
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comparison of methods
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walk on cubes method
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Milstein's walk on spheres
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