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)

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Cites work

• “Monte Carlo” Methods for the Iteration of Linear Operators
• A new iterative Monte Carlo approach for inverse matrix problem
• A numerical method for solving of a nonlinear inverse diffusion problem
• Asymptotic complexity of Monte Carlo methods for solving linear systems
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• scientific article; zbMATH DE number 3250158 (Why is no real title available?)
• Identification of a time-dependent coefficient in a partial differential equation subject to an extra measurement
• Monte Carlo algorithms: Performance analysis for some computer architectures
• Solving systems of linear equations with relaxed Monte Carlo method

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
• The accuracy estimation of Monte-Carlo method for the solution to one singular parabolic equation
• 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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