We study the effective numerical solution of first-exit-time problems in any number of dimensions with an arbitrary boundary. We show how a full discretization of the diffusive process, both in space and time, gives accurate results, allowing a clean mathematical analysis and the realization of fast and compact algorithms.
Numerical solutions of first-exit-time problems
VICERE', ANDREA
1993
Abstract
We study the effective numerical solution of first-exit-time problems in any number of dimensions with an arbitrary boundary. We show how a full discretization of the diffusive process, both in space and time, gives accurate results, allowing a clean mathematical analysis and the realization of fast and compact algorithms.File in questo prodotto:
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