Numerical methods for linear boundary value problems based on Feynman-Kac representations (Q1330672)
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scientific article; zbMATH DE number 609781
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| English | Numerical methods for linear boundary value problems based on Feynman-Kac representations |
scientific article; zbMATH DE number 609781 |
Statements
Numerical methods for linear boundary value problems based on Feynman-Kac representations (English)
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5 January 1995
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Three simulation methods of the Wiener process are described. These methods are applied to the determination of numerical solutions with the Feynman-Kac formula for the Dirichlet problem of an elliptic equation and an initial value problem of a parabolic equation. The results are compared with finite element solutions.
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Wiener process
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Feynman-Kac formula
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Dirichlet problem
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elliptic equation
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initial value problem
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parabolic equation
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finite element
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0.8270109295845032
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0.7858557105064392
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0.7722314596176147
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0.7710023522377014
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0.7672519087791443
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