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Numerical methods for linear boundary value problems based on Feyman–Kac representations

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  • Souza de Cursi, J.E.

Abstract

We present simulation methods for the numerical approximation of some linear boundary value problems involving Laplace's operator. The methods exposed are based on Feyman–Kac representations of the solutions. The methods are compared to each other and to finite element solution in some simple situations.

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  • Souza de Cursi, J.E., 1994. "Numerical methods for linear boundary value problems based on Feyman–Kac representations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 36(1), pages 1-16.
    • Handle: RePEc:eee:matcom:v:36:y:1994:i:1:p:1-16
    DOI: 10.1016/0378-4754(94)90045-0
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    Cited by:

    1. J.-P. Morillon, 2015. "Solving Wentzell-Dirichlet Boundary Value Problem with Superabundant Data Using Reflecting Random Walk Simulation," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 697-719, September.

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