Stochastic methods for Dirichlet problems

DOI10.1007/S10852-005-9007-0MaRDI QIDQ812077zbMATH OpenOpenAlexFDO

Authors R. Ardanuy-Albajar, B. A. Wade, Jesús 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

zbMATH Keywords

numerical examplesmaximum principlestochastic differential equationsEuler methodprobabilistic representationelliptic problemsLaplace and Poisson equationssecond order Dirichlet problemstochastic-numerical methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Ordinary differential equations and systems with randomness (34F05) Boundary value problems for second-order elliptic equations (35J25) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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Cited in

(20)

• Numerical solutions by stochastic analysis for boundary value problems
• Random Directions Stochastic Approximation With Deterministic Perturbations
• Probabilistic methods for numerical solutions to higher-dimensional Dirichlet problems
• Random relaxed Dirichlet problems
• The Simplest Random Walks for the Dirichlet Problem
• Numerical solution of the Dirichlet problem for linear parabolic SPDEs based on averaging over characteristics
• Numerical methods for linear boundary value problems based on Feynman-Kac representations
• On probabilistic analytical and numerical approaches for divergence form operators with discontinuous coefficients
• Applications of some formulas for finite Markov chains
• DIRICHLET PROBLEM WITH STOCHASTIC COEFFICIENTS
• An Exit Probability Approach to Solving High Dimensional Dirichlet Problems
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• Random walk methods for scalar transport problems subject to Dirichlet, Neumann and mixed boundary conditions
• The solving of boundary value problems by numerical integration of stochastic equations
• Solving some stochastic differential equation using Dirichlet distributions
• A novel stochastic method for the solution of direct and inverse exterior elliptic problems

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