Monte Carlo method for partial differential equations

DOI10.1007/978-1-4939-2104-1_46MaRDI QIDQ5261323zbMATH OpenOpenAlexFDO

Authors Alexander Sipin

Publication date 3 July 2015

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4939-2104-1_46

zbMATH Keywords

boundary value problemintegral equation methodLaplace equationMonte Carlo methodstatistical algorithmsstatistical unbiased estimators

Mathematics Subject Classification ID

Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Point estimation (62F10) Monte Carlo methods (65C05) Boundary element methods for boundary value problems involving PDEs (65N38) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75)

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Cites work

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• The ``walk in hemispheres process and its applications to solving boundary value problems

Cited in

(17)

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• An efficient Monte Carlo scheme for Zakai equations

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