The Simplest Random Walks for the Dirichlet Problem

DOI10.1137/S0040585X97979433MaRDI QIDQ4442886zbMATH OpenOpenAlexFDO

Authors M. V. Tretyakov, Grigori N. Milstein

Publication date 21 January 2004

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97979433

zbMATH Keywords

Dirichlet problemelliptic equationsMarkov chainsparabolic equationsprobabilistic representationrandom walksstochastic differential equationsweak approximations of solutions of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for partial differential equations, boundary value problems (65N99)

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• Applications of some formulas for finite Markov chains
• Prediction-correction method for nonlinear partial differential equations based on sparse grid interpolation techniques
• Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach
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