An algorithm for random walks over small ellipsoids for solving the general Dirichlet problem

zbMath0795.60073MaRDI QIDQ1323962

V. Pereyra

Publication date: 6 July 1994

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

zbMATH Keywords

Dirichlet problemstochastic differential equationsrandom walk

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Probabilistic potential theory (60J45)

Related Items (3)

A random walk on rectangles algorithm ⋮ The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain ⋮ Simulation of diffusions by means of importance sampling paradigm

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