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

Dirichlet problemelliptic equationFeynman-Kac formulafinite elementinitial value problemparabolic equationWiener process

Mathematics Subject Classification ID

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) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Applications to the sciences (65Z05)

Review text

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.

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

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

Cited in

(7)

• Solving Dirichlet problems numerically using the Feynman-Kac representation
• Numerical approximation of the solution in infinite dimensional global optimization using a representation formula
• Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions
• 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
• The contour integral method for Feynman-Kac equation with two internal states
• Applications of some formulas for finite Markov chains

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