Stochastic methods for Dirichlet problems

DOI10.1007/s10852-005-9007-0zbMath1084.65011OpenAlexW1970794569MaRDI QIDQ812077

R. Ardanuy-Albajar, Bruce A. Wade, Jesus Vigo Aguiar

Publication date: 23 January 2006

Published in: JMMA. Journal of Mathematical Modelling and Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10852-005-9007-0

zbMATH Keywords

maximum principlenumerical examplesstochastic differential equationsEuler methodelliptic problemsprobabilistic representationLaplace and Poisson equationssecond order Dirichlet problemstochastic-numerical methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary value problems for second-order elliptic equations (35J25) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Ordinary differential equations and systems with randomness (34F05) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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Cites Work

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• Elliptic Partial Differential Equations of Second Order
• Partial Differential Equations
• On the Factorization of Non-Negative Definite Matrices
• On Distributions of Certain Wiener Functionals
• On a Class of Markov Processes

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