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Euler scheme for Brownian motion 1 First eigenvalue of the Dirichlet problem 1 Random walk on rectangles 1 Random walk on spheres 1
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Lejay, Antoine 1 Maire, Sylvain 1
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Mathematics and Computers in Simulation (MATCOM) 1
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Computing the principal eigenvalue of the Laplace operator by a stochastic method
Lejay, Antoine; Maire, Sylvain - In: Mathematics and Computers in Simulation (MATCOM) 73 (2007) 6, pp. 351-363
We describe a Monte Carlo method for the numerical computation of the principal eigenvalue of the Laplace operator in a bounded domain with Dirichlet conditions. It is based on the estimation of the speed of absorption of the Brownian motion by the boundary of the domain. Various tools of...
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