Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
Stochastic representations of derivatives of solutions of one-dimensional parabolic variational inequalities with Neumann boundary conditions
In this paper we explicit the derivative of the flows of one-dimensional reflected diffusion processes. We then get stochastic representations for derivatives of viscosity solutions of one-dimensional semilinear parabolic partial differential equations and parabolic variational inequalities with Neumann boundary conditions.
Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics
Motivated by the development of efficient Monte Carlo methods for PDE models in molecular dynamics, we establish a new probabilistic interpretation of a family of divergence form operators with discontinuous coefficients at the interface of two open subsets of . This family of operators includes the case of the linearized Poisson-Boltzmann equation used to compute the electrostatic free energy of a molecule. More precisely, we explicitly construct a Markov process whose infinitesimal generator...
On mean numbers of passage times in small balls of discretized Itô processes.
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