Stochastic methods for Dirichlet problems
elliptic problemsEuler methodLaplace and Poisson equationsmaximum principlenumerical examplesprobabilistic representationsecond order Dirichlet problemstochastic differential equationsstochastic-numerical methods
Ordinary differential equations and systems with randomness (34F05) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Boundary value problems for second-order elliptic equations (35J25) Generation, random and stochastic difference and differential equations (37H10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)
It is well-known that solutions of second order Dirichlet problems possess probabilistic representations in terms of Ito type stochastic differential equations (SDEs). The authors present a numerical solution method for Dirichlet boundary value problems based on those probabilistic representations. Note that, with this idea, it is possible to find solution values of a partial differential equation at isolated points without having to construct any kind of space-mesh and without knowing approximations for the solution at any other points. Their method is similar to the approach of \textit{F. M. Buchmann} and \textit{W. P. Petersen} [BIT 43, No.~3, 519--540 (2003; Zbl 1050.65001)]. However, their approach differs primarily in the handling of the boundary. Some results of numerical examples are presented, especially for applying these techniques to Laplace and Poisson equations on the unit disk. Euler- and trapezoidal-type methods are used to approximate related SDEs and involved functionals.
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- The Simplest Random Walks for the Dirichlet Problem
- Continuous Markov processes and stochastic equations
- Differential and stochastic equations in abstract Wiener space
- Elliptic Partial Differential Equations of Second Order
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- On a Class of Markov Processes
- On degenerate elliptic-parabolic operators of second order and their associated diffusions
- On Distributions of Certain Wiener Functionals
- On the Factorization of Non-Negative Definite Matrices
- Partial Differential Equations
- Perturbation theory for linear operators.
- Probabilistic methods for finite difference approximations to degenerate elliptic and parabolic equations with Neumann and Dirichlet boundary conditions
- Probability methods for approximations in stochastic control and for elliptic equations
- Solving Dirichlet problems numerically using the Feynman-Kac representation
- Random relaxed Dirichlet problems
- Numerical methods for linear boundary value problems based on Feynman-Kac representations
- The solving of boundary value problems by numerical integration of stochastic equations
- Stochastic algorithms for solving the Dirichlet boundary value problem for certain second-order elliptic equations with discontinuous coefficients
- Numerical solution of the Dirichlet problem for linear parabolic SPDEs based on averaging over characteristics
- An Exit Probability Approach to Solving High Dimensional Dirichlet Problems
- Probabilistic methods for numerical solutions to higher-dimensional Dirichlet problems
- scientific article; zbMATH DE number 599419 (Why is no real title available?)
- The Simplest Random Walks for the Dirichlet Problem
- scientific article; zbMATH DE number 1507354 (Why is no real title available?)
- A novel stochastic method for the solution of direct and inverse exterior elliptic problems
- Stochastic Numerical Solution of Biharmonic Dirichlet Problem
- scientific article; zbMATH DE number 893959 (Why is no real title available?)
- The stochastic solution of the Dirichlet problem and controlled convergence
- scientific article; zbMATH DE number 1437504 (Why is no real title available?)
- Solving some stochastic differential equation using Dirichlet distributions
- Short selling with margin risk and recall risk
- Random Directions Stochastic Approximation With Deterministic Perturbations
- Random walk methods for scalar transport problems subject to Dirichlet, Neumann and mixed boundary conditions
- Numerical solutions by stochastic analysis for boundary value problems
- On probabilistic analytical and numerical approaches for divergence form operators with discontinuous coefficients
- DIRICHLET PROBLEM WITH STOCHASTIC COEFFICIENTS
- Applications of some formulas for finite Markov chains
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