Probabilistic Solution of the Dirichlet Problem for Biharmonic Functions in Discrete Space
Vanderbei, R. J.
Ann. Probab., Tome 12 (1984) no. 4, p. 311-324 / Harvested from Project Euclid
Considering difference equations in discrete space instead of differential equations in Euclidean space, we investigate a probabilistic formula for the solution of the Dirichlet problem for biharmonic functions. This formula involves the expectation of a weighted sum of the pay-offs at the successive times at which the Markov chain is in the complement of the domain. To make the infinite sum converge, we use Borel's summability method. This is interpreted probabilistically by imbedding the Markov chain into a continuous time, discrete space Markov process.
Publié le : 1984-05-14
Classification:  Biharmonic functions,  Dirichlet problem,  Dynkin's formula,  60J45,  31B30
@article{1176993292,
     author = {Vanderbei, R. J.},
     title = {Probabilistic Solution of the Dirichlet Problem for Biharmonic Functions in Discrete Space},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 311-324},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993292}
}
Vanderbei, R. J. Probabilistic Solution of the Dirichlet Problem for Biharmonic Functions in Discrete Space. Ann. Probab., Tome 12 (1984) no. 4, pp.  311-324. http://gdmltest.u-ga.fr/item/1176993292/