Solving Dirichlet problems numerically using the Feynman-Kac representation
type: Item
instance of: scholarly article
title: Solving Dirichlet problems numerically using the Feynman-Kac representation
zbMATH Open document ID: 1050.65001
DOI: 10.1023/B:BITN.0000007060.39437.76
author: F. M. Buchmann
author: Wesley P. Petersen
published in: BIT
publication date: 2004-06-11T00:00:00Z
review text: The authors consider the numerical solutions of the Dirichlet problem in high dimensions. By exploiting the Feynman-Kac formula Monte Carlo simulations of the underlying solutions of stochastic differential equations are performed. This involves the approximation of exit times and process values at the boundary. The walk on cubes method is studied and comparisons are made with Milstein's walk on spheres.
reviewed by: Eckhard Platen
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 2073448
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: Dirichlet problem
zbMATH Keywords: Feynman-Kac formula
zbMATH Keywords: comparison of methods
zbMATH Keywords: walk on cubes method
zbMATH Keywords: Milstein's walk on spheres
MaRDI profile type: Publication
full work available at URL: b:bitn.0000007060.39437.76
OpenAlex ID: W2089207074
description: scientific article; zbMATH DE number 2073448