A Feynman-Kac based numerical method for the exit time probability of a class of transport problems

DOI10.1016/j.jcp.2021.110564OpenAlexW3157696099MaRDI QIDQ2132650

Miroslav K. Stoyanov, Guannan Zhang, Minglei Yang, Diego del-Castillo-Negrete

Publication date: 28 April 2022

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.14561

zbMATH Keywords

transportFokker-Planck equationstochastic differential equationsFeynman-Kac formulaadjoint equationsfirst exit time

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Markov processes (60Jxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Uses Software

• CUDA
• CUSPARSE
• pchip
• Tasmanian

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