Numerical methods for linear boundary value problems based on Feynman-Kac representations
Three simulation methods of the Wiener process are described. These methods are applied to the determination of numerical solutions with the Feynman-Kac formula for the Dirichlet problem of an elliptic equation and an initial value problem of a parabolic equation. The results are compared with finite element solutions.
scientific article; zbMATH DE number 609781