scientific article; zbMATH DE number 2208604

zbMATH Open1076.65011MaRDI QIDQ5691894

A. V. Burmistrov, G. A. Mikhailov

Publication date: 27 September 2005

Title of this publication is not available (Why is that?)

zbMATH Keywords

algorithmstochastic differential equationsdiffusion equationMonte Carlo methodNeumann seriesDirichlet conditionEuler scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) 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)

Related Items (3)

Monte Carlo estimates of the solution of a parabolic equation and its derivatives made by solving stochastic differential equations ⋮ Title not available (Why is that?) ⋮ A new Monte Carlo method for solving a stationary diffusion equation

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