Stochastic Algorithms for Solving the Dirichlet Boundary Value Problem for Certain Second-Order Elliptic Equations with Discontinuous Coefficients

Stochastic algorithms for solving the Dirichlet boundary value problem for a second-order elliptic equation with coefficients having a discontinuity on a smooth surface are considered. It is assumed that the solution is continuous and its normal derivatives on the opposite sides of the discontinuity surface are consistent. A mean value formula in a ball (or an ellipsoid) is proposed and proved. This formula defines a random walk in the domain and provides statistical estimators (on its trajectories) for finding a Monte Carlo solution of the boundary value problem at the initial point of the walk.