scientific article; zbMATH DE number 195176
branching Markov processintegral representation theorymany-particle systemsmeasure- valued diffusionsMonte-Carlo methodspropagation of chaosWiener integral representations
Other special methods applied to PDEs (35A25) Representations of solutions to partial differential equations (35C99) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Functional limit theorems; invariance principles (60F17) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Monte Carlo methods (65C05)
[For the Russian original edition see Zbl 0604.60082]. The book deals with problems of mean value representations and numerical approximations to solutions of mainly classical initial-boundary value problems for the equations of mathematical physics via Monte-Carlo methods. The principal tool here consists of both mean values of paths and Wiener integral representations \(u=\underline E [I(\xi)]\) of the solutions through an appropriate random, in general branching and breaking-off, Markov process \(\xi\). These well known mean value theorems, discovered firstly for boundary value problems to Laplace operators and Brownian motions by N. Wiener, R. Courant, K. Friedrichs and H. Lévy, and developing for ever and a day, lead to further questions of computer simulations and approximations. The following subjects are considered: classification of computer simulated Markov processes arising from the mean value representations; rigorous construction of realizable unbiased estimators to u over paths \((\xi_ t)\) of random size \(\tau\) and their time-restricted analogues; and iterative processes for approximating solutions. Boundary value problems for linear and square-non-linear elliptic operators, parabolic operators, Lyapunov-Schmidt, second order Fredholm, Boltzmann type, Schrödinger and some other equations are considered. The 7 th and last chapter, added here to the Russian version of the book, presents a selected review of recent developments, related to the subjects: the propagation of chaos theory; the martingale method for many-particle systems and measure-valued diffusions [mainly by \textit{K. Oelschläger}, see Z. Wahrscheinlichkeitstheor. Verw. Geb. 69, 279-322 (1985; Zbl 0549.60071), and Ann. Probab. 12, 458-479 (1984; Zbl 0544.60097)]; numerical solutions and estimation of functionals for evolution SDEq's via the Neumann-Ulam scheme [see \textit{W. Wagner}, J. Comput. Phys. 71, 21-33 (1987; Zbl 0619.65011)]. The authors discuss open problems of modern mean value integral representation theory and Monte- Carlo methods.
- scientific article; zbMATH DE number 3976048
- Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
- Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres
- scientific article; zbMATH DE number 1865950
- scientific article; zbMATH DE number 193830
- Unbiased Monte Carlo evaluation of certain functional integrals
- scientific article; zbMATH DE number 1225885
- scientific article; zbMATH DE number 1791771
- scientific article; zbMATH DE number 3854362
- New Monte Carlo methods with estimating derivatives
- Simulation of a space-time bounded diffusion
- Application of the von Mises-Fisher distribution to random walk on spheres method for solving high-dimensional diffusion-advection-reaction equations
- Initial-boundary value problem for the heat equation -- a stochastic algorithm
- On stochastic algorithms for solving boundary-value problems for the Laplace operator
- Monte Carlo algorithm for the Robin boundary conditions in application to solving a model diffusion-recombination problem
- Numerical approximation of BSDEs using local polynomial drivers and branching processes
- A mesh free stochastic algorithm for solving diffusion-convection-reaction equations on complicated domains
- A new algorithm for system of integral equations
- First passage Monte Carlo algorithms for solving coupled systems of diffusion-reaction equations
- Random walk on spheres method for solving anisotropic drift-diffusion problems
- Comparison of independent, stratified and random covering sample schemes in optimization problems
- Integral and probabilistic representations for systems of elliptic equations
- Variance reduction by means of deterministic computation: Collision estimate
- Non-Poisson particle systems and Boltzmann equations
- Monte Carlo method for solution of initial-boundary value problem for nonlinear parabolic equations
- Random walk on ellipsoids method for solving elliptic and parabolic equations
- Random walk on spheres algorithm for solving steady-state and transient diffusion-recombination problems
- Global random walk on grid algorithm for solving Navier-Stokes and Burgers equations
- A new global random walk algorithm for calculation of the solution and its derivatives of elliptic equations with constant coefficients in an arbitrary set of points
- Monte Carlo solution of the Neumann problem for the nonlinear Helmholtz equation
- Stochastic algorithm for solving transient diffusion equations with a precise accounting of reflection boundary conditions on a substrate surface
- A Matlab software for approximate solution of 2D elliptic problems by means of the meshless Monte Carlo random walk method
- Combination of the meshless finite difference approach with the Monte Carlo random walk technique for solution of elliptic problems
- A mesh free floating random walk method for solving diffusion imaging problems
- On the error of stochastic solutions of Boltzmann-type equations: sharp upper bounds
- Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems
- A global random walk on spheres algorithm for transient heat equation and some extensions
- Splitting and survival probabilities in stochastic random walk methods and applications
- Stochastic simulation algorithms for solving transient anisotropic diffusion-recombination equations and application to cathodoluminescence imaging
- Development and implementation of branching random walk on spheres algorithms for solving the 2D elastostatics Lamé equation
- Random walk on semi-cylinders for diffusion problems with mixed Dirichlet-Robin boundary conditions
- Monte Carlo algorithms for problems with partially reflecting boundaries
- Walk-on-spheres algorithm for solving third boundary value problem
- Random Walk on Fixed Spheres for Laplace and Lamé equations
- Random walk on spheres method for solving drift-diffusion problems
- scientific article; zbMATH DE number 3976048 (Why is no real title available?)
- The Monte Carlo Complexity of Fredholm Integral Equations
- Kac particle systems with free motion and equations of Boltzmann type
- A randomized quasi-Monte Carlo algorithms for some boundary value problems
- On some stochastic algorithms for the numerical solution of the first boundary value problem for the heat equation
- Parameter Estimation for Macroscopic Pedestrian Dynamics Models from Microscopic Data
- Monte Carlo method for partial differential equations
- A global random walk on grid algorithm for second order elliptic equations
- A global random walk on grid algorithm for second order elliptic equations
- A Global Random Walk on Spheres algorithm for calculating the solution and its derivatives of the drift‐diffusion‐reaction equations
- Monte Carlo solution of semi-linear Helmholtz boundary value problem
- Random walk on small spheres method for solving drift-diffusion-reaction problems with spatially varying velocity and reaction rate
- Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4693133)
