Discrétisation d'une équation différentielle stochastique et calcul approché d'espérances de fonctionnelles de la solution
On mean numbers of passage times in small balls of discretized Itô processes.
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...
Page 1