Probabilistic numerical method for boundary value problems

MaRDI QIDQ3518175zbMATH OpenFDO

Authors Li Tang, Wensheng Yang

Publication date 6 August 2008

zbMATH Keywords

boundary value problemBrownian family with driftprobabilistic numerical method

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Brownian motion (60J65)

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• Initial boundary value problems in a bounded domain: probabilistic representations of solutions and limit theorems. I
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• Computation of the local time of reflecting Brownian motion and the probabilistic representation of the Neumann problem
• Numerical solutions by stochastic analysis for boundary value problems

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