Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation (Q974245)

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Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation
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    Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation (English)
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    27 May 2010
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    An unbiased estimator of the probabilistic representation of the solution of the Cauchy problem of the nonlinear parabolic equation \[ \frac{ \partial u(x,t)}{ \partial t}- a \Delta u(x,t)+ \sum_{i=1}^{n}b_i(x,t) \frac{ \partial u}{ \partial x}+c(x,t)u(x,t)= \sum_{i=0}^{\infty}a_i(x,t)u^i(x,t),\quad (x,t) \in \Omega \] under some stronger bounded condition on the \(a_i\)'s and a Hölder condition on the \(b_i\)'s is constructed by using branching processes. A numerical example is shown.
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    Monte Carlo method
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    Cauchy problem
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    branching random process
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    martingale
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    unbiased estimator
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    nonlinear parabolic equation
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    numerical example
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