The basic theory of finite element probability computing methods
elliptic boundary value problemfinite elementmethod of Markov chainsMonte Carlo methodsparabolic equationsprobability computing methodsprobability transfer matrices
Boundary value problems for second-order elliptic equations (35J25) Initial value problems for second-order parabolic equations (35K15) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30)
The method of Markov chains is used in this paper to solve different numerical tasks as is, e.g., elliptic boundary value problem, parabolic equations etc. Aside that, basic notions of what the author calls fundamental theory of finite element probability methods is established. Comparison with the classical Monte Carlo simulation approach is discussed as well.
- Methods with high accuracy for finite element probability computing
- Generating probability distributions on intervals and spheres with application to finite element method
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- The finite element method: A high‐performing approach for computing the probability of ruin and solving other ruin‐related problems
- Applications of some formulas for finite Markov chains
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