Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions
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numerical resultsBrownian motionFeynman-Kac formulaLaplace equationreflecting Brownian motionRobin boundary problemSkorokhod problemboundary local timewalk on spheres method
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: In this paper, we present numerical methods to implement the probabilistic representation of third kind (Robin) boundary problem for the Laplace equations. The solution is based on a Feynman-Kac formula for the Robin problem which employs the standard reflecting Brownian motion (SRBM) and its boundary local time arising from the Skorohod problem. By simulating SRBM paths through Brownian motion using Walk on Spheres (WOS) method, approximation of the boundary local time is obtained and the Feynman-Kac formula is calculated by evaluating the average of all path integrals over the boundary under a measure defined through the local time. Numerical results demonstrate the accuracy and efficiency of the proposed method for finding a local solution of the Laplace equations with Robin boundary conditions.
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