A Feynman-Kac based numerical method for the exit time probability of a class of transport problems

The exit time probability, which gives the likelihood that an initial condition leaves a prescribed region of the phase space of a dynamical system at, or before, a given time, is arguably one of the most natural and important transport problems. Here we present an accurate and efficient numerical m...

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Bibliographic Details
Published in:	Journal of computational physics Vol. 444; no. NA; p. 110564
Main Authors:	Yang, Minglei, Zhang, Guannan, del-Castillo-Negrete, Diego, Stoyanov, Miroslav
Format:	Journal Article
Language:	English
Published:	Cambridge Elsevier Inc 01.11.2021 Elsevier Science Ltd Elsevier
Subjects:	Adjoint equations Advection Algorithms Approximation CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS Computational physics Convergence Damping Electric fields Exact solutions Feynman-Kac formula Finite difference method First exit time Fluid dynamics Fluid flow Fokker-Planck equation Formulas (mathematics) Hermite polynomials Matrix representation Numerical analysis Numerical methods Parallel processing Partial differential equations Quadratures Stochastic differential equations Time dependence Transport Stochastic differential equations Fokker-Planck equation Feynman-Kac formula Adjoint equations Transport First exit time
ISSN:	0021-9991, 1090-2716
Online Access:	Get full text
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