Numerical methods for linear boundary value problems based on Feynman-Kac representations
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Publication:1330672
DOI10.1016/0378-4754(94)90045-0zbMath0803.65145MaRDI QIDQ1330672
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
Dirichlet problem; Wiener process; finite element; initial value problem; parabolic equation; Feynman-Kac formula; elliptic equation
65C05: Monte Carlo methods
35J25: Boundary value problems for second-order elliptic equations
60H30: Applications of stochastic analysis (to PDEs, etc.)
65Z05: Applications to the sciences
35K15: Initial value problems for second-order parabolic equations
65C99: Probabilistic methods, stochastic differential equations
Related Items
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Cites Work
