Numerical Solution for the Non-linear Dirichlet Problem of a Branching Process |
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| Authors: | Oana Lupaşcu Vasile Stănciulescu |
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| Institution: | 1.Institute of Mathematical Statistics and Applied Mathematics, Simion Stoilow Institute of Mathematics,Romanian Academy,Bucharest,Romania;2.Simion Stoilow Institute of Mathematics, Research Group of the Project PN-II-ID-PCE-2011-3-0045,Romanian Academy,Bucharest,Romania |
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| Abstract: | We give a probabilistic numerical approach for the nonlinear Dirichlet problem associated with a branching process. Main tools are the probabilistic representation of the solution with the measure-valued branching process, as well as specific techniques for the numerical solution of linear partial differential equations, introduced and developed by Milstein and Tretyakov, and Monte Carlo methods. |
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