Some new simulations schemes for the evaluation of Feynman–Kac representations

DOI10.1515/MCMA.2008.002zbMath1146.65003DBLPjournals/mcma/MaireT08OpenAlexW2166422389WikidataQ60920730 ScholiaQ60920730MaRDI QIDQ3516794

Etienne Tanré, Sylvain Maire

Publication date: 11 August 2008

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2008.002

zbMATH Keywords

numerical examplesquantizationPoisson equationFeynman-Kac formulasimulation schemessequential Monte Carlo algorithmsstochastic spectral formulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05)

Related Items (2)

Stochastic finite differences for elliptic diffusion equations in stratified domains ⋮ Numerical solution of the Poisson equation over hypercubes using reduced Chebyshev polynomial bases

Cites Work

• A Monte Carlo method for Poisson's equation
• A space quantization method for numerical integration
• A Feynman-Kac path-integral implementation for Poisson's equation using an \(h\)-conditioned Green's function
• Weak approximation of killed diffusion using Euler schemes.
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Quasi-Monte Carlo quadratures for multivariate smooth functions
• Functional quantization for numerics with an application to option pricing
• Optimal quadratic quantization for numerics: the Gaussian case
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• A spectral Monte Carlo method for the Poisson equation
• Domain Decomposition Solution of Elliptic Boundary-Value Problems via Monte Carlo and Quasi-Monte Carlo Methods
• Sequential Control Variates for Functionals of Markov Processes

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