Random walk algorithms for elliptic equations and boundary singularities
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Nikolai A. Simonov
Abstract
The influence of boundary singularities on the behavior of the random walk algorithms is studied and illustrated by the results of several computational experiments of solving boundary-value problems for elliptic equations.
Funding source: Russian Science Foundation
Award Identifier / Grant number: 14-11-00083
Funding statement: Supported by the Russian Science Foundation under the research grant 14-11-00083.
References
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Articles in the same Issue
- Frontmatter
- Nesting Monte Carlo for high-dimensional non-linear PDEs
- Strong rate of convergence for the Euler–Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
- Global sensitivity analysis for a stochastic flow problem
- Sampling from the 𝒢I0 distribution
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
- On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
- Random walk algorithms for elliptic equations and boundary singularities
Articles in the same Issue
- Frontmatter
- Nesting Monte Carlo for high-dimensional non-linear PDEs
- Strong rate of convergence for the Euler–Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero
- Global sensitivity analysis for a stochastic flow problem
- Sampling from the 𝒢I0 distribution
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
- On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
- Random walk algorithms for elliptic equations and boundary singularities
