On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
From MaRDI portal
Publication:3632723
DOI10.1515/MCMA.2009.002zbMath1168.65306OpenAlexW2126592268MaRDI QIDQ3632723
Publication date: 12 June 2009
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2009.002
Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Cites Work
- \(L^ 2\) solvability and representation by caloric layer potentials in time-varying domains
- On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
- Numerical Approximation for Functionals of Reflecting Diffusion Processes
- Euler schemes and half-space approximation for the simulation of diffusion in a domain
- Adaptive weak approximation of stochastic differential equations
- Convergence Rates for Adaptive Weak Approximation of Stochastic Differential Equations
- Adaptive Monte Carlo Algorithms for Stopped Diffusion