Stochastic methods for Dirichlet problems
DOI10.1007/s10852-005-9007-0zbMath1084.65011OpenAlexW1970794569MaRDI QIDQ812077
R. Ardanuy-Albajar, Bruce A. Wade, Jesus Vigo Aguiar
Publication date: 23 January 2006
Published in: JMMA. Journal of Mathematical Modelling and Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10852-005-9007-0
maximum principlenumerical examplesstochastic differential equationsEuler methodelliptic problemsprobabilistic representationLaplace and Poisson equationssecond order Dirichlet problemstochastic-numerical methods
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary value problems for second-order elliptic equations (35J25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Ordinary differential equations and systems with randomness (34F05) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
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