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

DOI10.1016/0378-4754(94)90045-0zbMath0803.65145OpenAlexW2084524957MaRDI QIDQ1330672

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 problemWiener processfinite elementinitial value problemparabolic equationFeynman-Kac formulaelliptic equation

Mathematics Subject Classification ID

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

Related Items

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 ⋮ Applications of some formulas for finite Markov chains ⋮ Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation

Cites Work

• Discretization and simulation of stochastic differential equations
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