Monte Carlo method via a numerical algorithm to solve a parabolic problem (Q2383905)
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| Language | Label | Description | Also known as |
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| English | Monte Carlo method via a numerical algorithm to solve a parabolic problem |
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Monte Carlo method via a numerical algorithm to solve a parabolic problem (English)
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19 September 2007
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The first initial boundary value problem for \(U_t=a(t)U_{xx}\) is considered. The authors use a finite difference discretization. The Monte Carlo method is employed to solve the appropriate sparse linear system. The complexities of iterative and Monte Carlo methods are compared. There are two examples which have explicit solutions; they are showing the efficiency and accuracy of this method.
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Monte Carlo method
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Markov chain
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finite difference method
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large sparse systems
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complexity
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heat equation
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numerical examples
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