Solving Wentzell-Dirichlet boundary value problem with superabundant data using reflecting random walk simulation

DOI10.1007/s11009-013-9390-3zbMath1329.65019OpenAlexW2074440146MaRDI QIDQ496961

J.-P. Morillon

Publication date: 23 September 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-013-9390-3

zbMATH Keywords

algorithmrandom walksMonte Carlo methodnumerical resultreflected diffusionprobabilistic representationWentzell boundary conditionlinear boundary value problemstochastic numerical method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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