Solving Dirichlet problems numerically using the Feynman-Kac representation
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Publication:1431660
DOI10.1023/B:BITN.0000007060.39437.76zbMath1050.65001MaRDI QIDQ1431660
F. M. Buchmann, Wesley P. Petersen
Publication date: 11 June 2004
Published in: BIT (Search for Journal in Brave)
Dirichlet problem; comparison of methods; stochastic differential equations; Monte Carlo simulation; Feynman-Kac formula; Milstein's walk on spheres; walk on cubes method
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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