On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
Dirichlet problems for second order parabolic operators in space-time domains Ω ⊂ ℝn+1 are of paramount importance in analysis, partial differential equations and applied mathematics. These problems can be approached in many different ways using techniques from partial differential equations, potential theory, stochastic differential equations, stopped diffusions and Monte Carlo …