Monte Carlo method via a numerical algorithm to solve a parabolic problem

DOI10.1016/J.AMC.2007.02.102MaRDI QIDQ2383905zbMATH OpenOpenAlexFDO

Authors Morteza Ebrahimi, Rahman Farnoosh

Publication date 19 September 2007

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2007.02.102

zbMATH Keywords

complexityfinite difference methodheat equationlarge sparse systemsMarkov chainMonte Carlo methodnumerical examples

Mathematics Subject Classification ID

Heat equation (35K05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Iterative numerical methods for linear systems (65F10) Computational methods for sparse matrices (65F50) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Complexity and performance of numerical algorithms (65Y20)

Review text

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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Cites work

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Cited in

(19)

• Simulation algorithms for the second-order parabolic Cauchy problem
• A hybrid parareal Monte Carlo algorithm for parabolic problems
• Biological applications and numerical solution based on Monte Carlo method for a two-dimensional parabolic inverse problem
• Monte Carlo method for solving Fredholm integral equations of the second kind
• The efficient Monte Carlo method in solving the initial-boundary value problem of partial differential equations
• Extension of van der Corput algorithm to LS-sequences
• scientific article; zbMATH DE number 1822419 (Why is no real title available?)
• Solution of an initial-boundary value problem for a system of parabolic equations by the Monte Carlo method
• On Monte Carlo algorithms applied to Dirichlet problems for parabolic operators in the setting of time-dependent domains
• The solution of a mixed problem for equations of the parabolic and hyperbolic type by the Monte Carlo method
• Monte Carlo simulation of the general elliptic operator
• scientific article; zbMATH DE number 4045073 (Why is no real title available?)
• scientific article; zbMATH DE number 1302620 (Why is no real title available?)
• Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption
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• Combined probabilistic algorithm for solving high dimensional problems
• Monte Carlo method for finding the solution of Dirichlet partial differential equations
• Polynomial solution of high-order linear Fredholm integro-differential equations with constant coefficients
• A Monte Carlo method for solving unsteady adjoint equations

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