An Exit Probability Approach to Solving High Dimensional Dirichlet Problems

DOI10.1137/050622201MaRDI QIDQ3440208zbMATH OpenOpenAlexFDO

Authors F. M. Buchmann, Wesley P. Petersen

Publication date 22 May 2007

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050622201

zbMATH Keywords

Dirichlet problemsMonte-Carlo simulationsstochastic differential equationsstopped diffusionsweak approximation

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical methods for partial differential equations, boundary value problems (65N99)

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Cited in

(9)

• Solving Dirichlet problems numerically using the Feynman-Kac representation
• The PDD method for solving linear, nonlinear, and fractional PDEs problems
• An implementation of Milstein's method for general bounded diffusions
• Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries
• scientific article; zbMATH DE number 1861616 (Why is no real title available?)
• Exit Problems as the Generalized Solutions of Dirichlet Problems
• A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems
• Domain decomposition solution of nonlinear two-dimensional parabolic problems by random trees
• Computing the principal eigenelements of some linear operators using a branching Monte Carlo method

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