caa a22 4500 605519706 CHVBK 20210128100731.0 cr unu---uuuuu 210128e20150901xx s 000 0 eng 10.1007/s11009-013-9390-3 doi (NATIONALLICENCE)springer-10.1007/s11009-013-9390-3 Morillon J.-P Laboratoire PIMENT, Université de La Réunion, 97487, La Réunion Island, Saint-Denis Cedex, France aut Solving Wentzell-Dirichlet Boundary Value Problem with Superabundant Data Using Reflecting Random Walk Simulation [Elektronische Daten] [J.-P. Morillon] 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. Springer Science+Business Media New York, 2013 Monte Carlo method for linear BVP nationallicence Wentzell boundary condition nationallicence Reflected diffusion nationallicence Probabilistic representation nationallicence Stochastic numerical method nationallicence Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/3(2015-09-01), 697-719 1387-5841 17:3<697 2015 17 11009 https://doi.org/10.1007/s11009-013-9390-3 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11009-013-9390-3 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Morillon J.-P Laboratoire PIMENT, Université de La Réunion, 97487, La Réunion Island, Saint-Denis Cedex, France aut NATIONALLICENCE 773 0- Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/3(2015-09-01), 697-719 1387-5841 17:3<697 2015 17 11009