SOLVING WENTZELL-DIRICHLET BOUNDARY VALUE PROBLEM WITH SUPERABUNDANT DATA USING REFLECTING RANDOW WALK SIMULATION - Archive ouverte HAL
Article Dans Une Revue Methodology and Computing in Applied Probability Année : 2013

SOLVING WENTZELL-DIRICHLET BOUNDARY VALUE PROBLEM WITH SUPERABUNDANT DATA USING REFLECTING RANDOW WALK SIMULATION

Résumé

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.
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Dates et versions

hal-00967558 , version 1 (29-03-2014)

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Jean-Paul Morillon. SOLVING WENTZELL-DIRICHLET BOUNDARY VALUE PROBLEM WITH SUPERABUNDANT DATA USING REFLECTING RANDOW WALK SIMULATION. Methodology and Computing in Applied Probability, 2013, 15 (4), pp.1-23. ⟨10.1007/s11009-013-9390-3⟩. ⟨hal-00967558⟩
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