Monte Carlo Algorithms for the Parabolic Cauchy Problem

Monte Carlo Algorithms for the Parabolic Cauchy Problem

New Monte Carlo algorithms for solving the Cauchy problem for the second order parabolic equation with smooth coefficients are considered. Unbiased estimators for the solutions of this problem are constructed.

Bibliographic Details
Main Author:	Alexander Sipin
Format:	Article
Language:	English
Published:	MDPI AG 2019-02-01
Series:	Mathematics
Subjects:	parabolic equation Cauchy problem Monte Carlo method unbiased estimator von-Neumann–Ulam scheme
Online Access:	https://www.mdpi.com/2227-7390/7/2/177

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