Numerical methods for linear boundary value problems based on Feynman-Kac representations
type: Item
instance of: scholarly article
title: Numerical methods for linear boundary value problems based on Feynman-Kac representations
zbMATH Open document ID: 0803.65145
DOI: 10.1016/0378-4754(94)90045-0
published in: Mathematics and Computers in Simulation
publication date: 1995-01-05T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 35K15
Mathematics Subject Classification ID: 35J25
Mathematics Subject Classification ID: 65Z05
zbMATH DE Number: 609781
zbMATH Keywords: Wiener process
zbMATH Keywords: Feynman-Kac formula
zbMATH Keywords: Dirichlet problem
zbMATH Keywords: elliptic equation
zbMATH Keywords: initial value problem
zbMATH Keywords: parabolic equation
zbMATH Keywords: finite element
author: Eduardo Souza de Cursi
reviewed by: Wilfried Grecksch
MaRDI profile type: Publication
full work available at URL: 0378-4754(94)90045-0
OpenAlex ID: W2084524957
cites work: Q5890172
cites work: Q3875490
cites work: Discretization and simulation of stochastic differential equations
description: scientific article; zbMATH DE number 609781