Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions

DOI10.1007/S10915-016-0184-YzbMATH Open1352.65021arXiv1506.03385OpenAlexW1173716557MaRDI QIDQ334322FDOQ334322

Authors: Yijing Zhou, Wei Cai 

Publication date: 1 November 2016

Published in: Journal of Scientific Computing (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1506.03385

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zbMATH Keywords

numerical resultsBrownian motionFeynman-Kac formulaLaplace equationreflecting Brownian motionRobin boundary problemSkorokhod problemboundary local timewalk on spheres method

Mathematics Subject Classification ID

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)

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Cited In (9)

• What is the fractional Laplacian? A comparative review with new results
• The stochastic counterpart of conservation laws with heterogeneous conductivity fields: application to deterministic problems and uncertainty quantification
• Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning
• Computation of the local time of reflecting Brownian motion and the probabilistic representation of the Neumann problem
• A parallel iterative probabilistic method for mixed problems of Laplace equations with the Feynman-Kac formula of killed Brownian motions
• On explicit numerically realizable formulae for Poincaré-Steklov operators
• A path integral Monte Carlo (PIMC) method based on Feynman-Kac formula for electrical impedance tomography
• Explicit numerically implementable formulas for Poincaré-Steklov operators
• A Feynman-Kac path-integral implementation for Poisson's equation using an \(h\)-conditioned Green's function

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