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The Feynman–Kac formula provides a fundamental relation between the solution of an elliptic partial differential equation (PDE) and a stochastic process, providing a probabilistic representation of the PDE’s solution at any given location and a Monte Carlo solution [1–4]

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Random Walk Stochastic Methods for PDE Boundary Value Problems

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  • 发表日期：

    2025年

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  • Wei Cai

摘要

The Feynman–Kac formula provides a fundamental relation between the solution of an elliptic partial differential equation (PDE) and a stochastic process, providing a probabilistic representation of the PDE’s solution at any given location and a Monte Carlo solution [1–4]