Computing the principal eigenvalue of the Laplace operator by a stochastic method

Antoine Lejay and Sylvain Maire

Mathematics and Computers in Simulation (MATCOM), 2007, vol. 73, issue 6, 351-363

Abstract: 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 statistical estimation and different simulation schemes are developed to optimize the method. Numerical examples are studied to check the accuracy and the robustness of our approach.

Keywords: First eigenvalue of the Dirichlet problem; Euler scheme for Brownian motion; Random walk on spheres; Random walk on rectangles (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475406001856
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:73:y:2007:i:6:p:351-363

DOI: 10.1016/j.matcom.2006.06.011

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().