Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning

DOI10.1007/s11009-021-09871-9zbMath1491.65015arXiv2008.00144OpenAlexW3046589003MaRDI QIDQ2157396

Yanyan Li

Publication date: 28 July 2022

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.00144

zbMATH Keywords

Monte CarloBrownian motionFeynman-Kac formulaelliptic equationtemporal difference learning

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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