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Monte Carlo Algorithms for Problems with Partially Reflecting Boundaries

  • Nikolai A. Simonov
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 10665)

Abstract

We consider diffusion problems with partially reflecting boundaries that can be formulated in terms of an elliptic equation. To solve boundary value problems with the Robin condition, we propose a Monte Carlo method based on a randomization of an integral representation. The algorithm behaviour is analysed in its application for solving a model problem.

Keywords

Monte Carlo Random walk Partially reflecting boundary condition Laplace equation Markov chain Robin problem Third boundary value problem 

Notes

Acknowledgements

This work was supported by the Bulgarian Science Fund Grant DFNI-I02/8.

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Copyright information

© Springer International Publishing AG 2018

Authors and Affiliations

  1. 1.Institute of Computational Mathematics and Mathematical Geophysics SB RASNovosibirskRussian Federation

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