An efficient algorithm for accelerating Monte Carlo approximations of the solution to boundary value problems
The numerical approximation of boundary value problems by means of a probabilistic representations often has the drawback that the Monte Carlo estimate of the solution is substantially biased due to the presence of the domain boundary. We introduce a scheme, which we have called the leading-term Mon...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2016
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10071/10824 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/10824 |