An Exit Probability Approach to Solving High Dimensional Dirichlet Problems

DOI10.1137/050622201zbMath1151.65303OpenAlexW2055494344MaRDI QIDQ3440208

F. M. Buchmann, Wesley P. Petersen

Publication date: 22 May 2007

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/050622201

zbMATH Keywords

Dirichlet problemsstochastic differential equationsweak approximationMonte-Carlo simulationsstopped diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary value problems for second-order elliptic equations (35J25) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical methods for partial differential equations, boundary value problems (65N99)

Related Items (6)

Domain decomposition solution of nonlinear two-dimensional parabolic problems by random trees ⋮ A posteriori error analysis and adaptivity for high-dimensional elliptic and parabolic boundary value problems ⋮ Computing the principal eigenelements of some linear operators using a branching Monte Carlo method ⋮ The PDD method for solving linear, nonlinear, and fractional PDEs problems ⋮ An implementation of Milstein's method for general bounded diffusions ⋮ Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries

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