Article ID Journal Published Year Pages File Type
1141316 Mathematics and Computers in Simulation 2007 13 Pages PDF
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.

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Physical Sciences and Engineering Engineering Control and Systems Engineering
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