Numerical methods for linear boundary value problems based on Feynman-Kac representations

DOI10.1016/0378-4754(94)90045-0MaRDI QIDQ1330672zbMATH OpenOpenAlexFDO

Authors Eduardo Souza de Cursi

Publication date 5 January 1995

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

Full work available at URL https://doi.org/10.1016/0378-4754(94)90045-0

zbMATH Keywords

Wiener processDirichlet problemelliptic equationFeynman-Kac formulafinite elementinitial value problemparabolic equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Boundary value problems for second-order elliptic equations (35J25) Initial value problems for second-order parabolic equations (35K15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications to the sciences (65Z05)

Recommendations

• Solving Dirichlet problems numerically using the Feynman-Kac representation
• Stochastic methods for Dirichlet problems
• Numerical solutions by stochastic analysis for boundary value problems
• The solving of boundary value problems by numerical integration of stochastic equations
• On Simulating Wiener Integrals and Their Expectations

Cites work

• scientific article; zbMATH DE number 3679327 (Why is no real title available?)
• scientific article; zbMATH DE number 3302617 (Why is no real title available?)
• Discretization and simulation of stochastic differential equations

Cited in

(7)

• Numerical approximation of the solution in infinite dimensional global optimization using a representation formula
• Solving Dirichlet problems numerically using the Feynman-Kac representation
• Applications of some formulas for finite Markov chains
• Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions
• The contour integral method for Feynman-Kac equation with two internal states
• Some new simulations schemes for the evaluation of Feynman–Kac representations
• Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation

This page was built for publication: Numerical methods for linear boundary value problems based on Feynman-Kac representations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1330672)