The Simplest Random Walks for the Dirichlet Problem
نویسندگان
چکیده
منابع مشابه
The Simplest Random Walks for the Dirichlet Problem∗
The Dirichlet problem for both parabolic and elliptic equations is considered. A solution of the corresponding characteristic system of stochastic differential equations is approximated in the weak sense by a Markov chain. If a state of the chain comes close to the boundary of the domain in which the problem is considered, then in the next step the chain either stops on the boundary or goes ins...
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ژورنال
عنوان ژورنال: Theory of Probability & Its Applications
سال: 2003
ISSN: 0040-585X,1095-7219
DOI: 10.1137/s0040585x97979433