Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions.
Benedict J. LeimkuhlerA. SharmaMichael V. TretyakovPublished in: CoRR (2020)
Keyphrases
- random walk
- boundary value problem
- stationary distribution
- markov chain
- boundary conditions
- differential equations
- partial differential equations
- anisotropic diffusion
- numerical solution
- steady state
- transition probabilities
- variational inequalities
- markov random walk
- level set
- state space
- search space
- transition probability matrix
- sensitivity analysis
- high order
- sufficient conditions
- exact solution
- object recognition
- multi agent systems
- similarity measure