Numerical methods for linear boundary value problems based on Feynman-Kac representations (Q1330672)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Numerical methods for linear boundary value problems based on Feynman-Kac representations |
scientific article; zbMATH DE number 609781
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for linear boundary value problems based on Feynman-Kac representations |
scientific article; zbMATH DE number 609781 |
Statements
Numerical methods for linear boundary value problems based on Feynman-Kac representations (English)
0 references
5 January 1995
0 references
Three simulation methods of the Wiener process are described. These methods are applied to the determination of numerical solutions with the Feynman-Kac formula for the Dirichlet problem of an elliptic equation and an initial value problem of a parabolic equation. The results are compared with finite element solutions.
0 references
Wiener process
0 references
Feynman-Kac formula
0 references
Dirichlet problem
0 references
elliptic equation
0 references
initial value problem
0 references
parabolic equation
0 references
finite element
0 references
