Solving Dirichlet problems numerically using the Feynman-Kac representation

DOI10.1023/B:BITN.0000007060.39437.76zbMath1050.65001OpenAlexW2089207074MaRDI QIDQ1431660

F. M. Buchmann, Wesley P. Petersen

Publication date: 11 June 2004

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:bitn.0000007060.39437.76

zbMATH Keywords

Dirichlet problemcomparison of methodsstochastic differential equationsMonte Carlo simulationFeynman-Kac formulaMilstein's walk on sphereswalk on cubes method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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