Random walk algorithms for elliptic equations and boundary singularities

DOI10.1515/MCMA-2018-2026MaRDI QIDQ1713865zbMATH OpenOpenAlexWikidataFDO

Authors Nikolai A. Simonov

Publication date 30 January 2019

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2018-2026

zbMATH Keywords

Markov chainrandom walkMonte Carloboundary value problemboundary singularity

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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• Stochastic methods for boundary value problems. Numerics for high-dimensional PDEs and applications
• The random walk on the boundary method for calculating capacitance

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(3)

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• A triangular mesh random walk for Dirichlet problems
• Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions

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