A parallel iterative probabilistic method for mixed problems of Laplace equations with the Feynman-Kac formula of killed Brownian motions

DOI10.1137/22M1478458MaRDI QIDQ5048569zbMATH OpenOpenAlexFDO

Authors Cuiyang Ding, Changhao Yan, Xuan Zeng, Wei Cai

Publication date 16 November 2022

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/22m1478458

zbMATH Keywords

boundary integral equationsFeynman-Kac formulakilled Brownian motionsLaplace equationNeumann and Robin boundary

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for partial differential equations, boundary value problems (65N99) Kinetics in biochemical problems (pharmacokinetics, enzyme kinetics, etc.) (92C45)

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Cites work

• \(\varepsilon\)-shell error analysis for ``walk on spheres algorithms
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• A Simple Mesh Generator in MATLAB
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• scientific article; zbMATH DE number 5164440 (Why is no real title available?)
• scientific article; zbMATH DE number 51571 (Why is no real title available?)
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• Monte Carlo approximations of the Neumann problem
• Numerical Approximation for Functionals of Reflecting Diffusion Processes
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• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• The probabilistic solution of the third boundary value problem for second order elliptic equations
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• Unbiased `walk-on-spheres' Monte Carlo methods for the fractional Laplacian
• What is the fractional Laplacian? A comparative review with new results

Cited in

(4)

• A parallel method for solving Laplace equations with Dirichlet data using local boundary integral equations and random walks
• Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions
• A highly scalable boundary integral equation and walk-on-spheres (BIE-WOS) method for the Laplace equation with Dirichlet data
• Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates

Describes a project that uses

Uses Software

• DistMesh

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