Solving Wentzell-Dirichlet Boundary Value Problem with Superabundant Data Using Reflecting Random Walk Simulation
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9390-3 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9390-3 | ||
| 100 | 1 | |a Morillon |D J.-P |u Laboratoire PIMENT, Université de La Réunion, 97487, La Réunion Island, Saint-Denis Cedex, France |4 aut | |
| 245 | 1 | 0 | |a Solving Wentzell-Dirichlet Boundary Value Problem with Superabundant Data Using Reflecting Random Walk Simulation |h [Elektronische Daten] |c [J.-P. Morillon] |
| 520 | 3 | |a In this paper, we are interested in numerical solution of some linear boundary value problems with Wentzell's boundary part and superabundant data on this part, by the means of simulation of reflected random walks. We use a probabilistic interpretation of solution, assuming that the diffusion coefficient and the boundary data are sufficiently smooth, and applying Itô's formula. From this stochastic representation of solution, we extend the algorithm obtained for mixed standard boundary conditions to the case of diffusion-reflection on the boundary, so called Wentzell's boundary condition. We then obtain numerical results by applying the stochastic method based upon this generalized algorithm. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Monte Carlo method for linear BVP |2 nationallicence | |
| 690 | 7 | |a Wentzell boundary condition |2 nationallicence | |
| 690 | 7 | |a Reflected diffusion |2 nationallicence | |
| 690 | 7 | |a Probabilistic representation |2 nationallicence | |
| 690 | 7 | |a Stochastic numerical method |2 nationallicence | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/3(2015-09-01), 697-719 |x 1387-5841 |q 17:3<697 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9390-3 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9390-3 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Morillon |D J.-P |u Laboratoire PIMENT, Université de La Réunion, 97487, La Réunion Island, Saint-Denis Cedex, France |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/3(2015-09-01), 697-719 |x 1387-5841 |q 17:3<697 |1 2015 |2 17 |o 11009 | ||