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Journal of Scientific Computing

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03-03-2016

Numerical Solution of the Robin Problem of Laplace Equations with a Feynman–Kac Formula and Reflecting Brownian Motions

Authors: Yijing Zhou, Wei Cai

Published in: Journal of Scientific Computing | Issue 1/2016

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Abstract

In this paper, we present numerical methods to implement the probabilistic representation of third kind (Robin) boundary problem for the Laplace equations. The solution is based on a Feynman–Kac formula for the Robin problem which employs the standard reflecting Brownian motion (SRBM) and its boundary local time arising from the Skorokhod problem. By simulating SRBM paths through Brownian motion using Walk on Spheres method, approximation of the boundary local time is obtained and the Feynman–Kac formula is then calculated by evaluating the average of all path integrals over the boundary under a measure defined through the local time. Numerical results demonstrate the accuracy and efficiency of the proposed method for finding a local solution of the Laplace equations with Robin boundary conditions.

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Title: Numerical Solution of the Robin Problem of Laplace Equations with a Feynman–Kac Formula and Reflecting Brownian Motions
Authors: Yijing Zhou
Wei Cai
Publication date: 03-03-2016
Publisher: Springer US
Published in: Journal of Scientific Computing / Issue 1/2016
Print ISSN: 0885-7474
Electronic ISSN: 1573-7691
DOI: https://doi.org/10.1007/s10915-016-0184-y

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