Probabilistic Methods for Finite Difference Approximations to Degenerate Elliptic and Parabolic Equations with Neumann and Dirichlet Boundary Conditions,
BROWN UNIV PRIVIDENCE R I LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS
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The author considers several types of problems related to elliptic and parabolic equations with boundary conditions, their relation to diffusions that are reflected from or absorbed on a boundary, finite difference approximations to the partial differential equations and Markov chain approximations to the processes, relations between the discrete and continuous problems, and the problem of convergence of these approximations.
- Statistics and Probability