Initial-boundary value problem for the heat equation -- a stochastic algorithm

DOI10.1214/17-AAP1348zbMATH Open1397.35119arXiv1610.03963OpenAlexW2532982383MaRDI QIDQ1661575FDOQ1661575

Authors: Madalina Deaconu, Samuel Herrmann 

Publication date: 16 August 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: The Initial-Boundary Value Problem for the heat equation is solved by using a new algorithm based on a random walk on heat balls. Even if it represents a sophisticated generalization of the Walk on Spheres (WOS) algorithm introduced to solve the Dirich-let problem for Laplace's equation, its implementation is rather easy. The definition of the random walk is based on a new mean value formula for the heat equation. The convergence results and numerical examples permit to emphasize the efficiency and accuracy of the algorithm.

Full work available at URL: https://arxiv.org/abs/1610.03963

Recommendations

• On some stochastic algorithms for the numerical solution of the first boundary value problem for the heat equation
• A stochastic algorithm for solving an initial-boundary value problem for the Boltzmann equation
• scientific article
• scientific article; zbMATH DE number 1286132
• Stochastic heat equations with random initial conditions
• A stochastic method of solving an initial-boundary value problem for the Boltzmann equation
• On stochastic algorithms for solving boundary-value problems for the Laplace operator
• Random heat equation: Solutions by the stochastic adaptive interpolation method
• A stochastic method for solving a boundary value problem
• scientific article; zbMATH DE number 1724448

zbMATH Keywords

random walkrandomized algorithmheat equationinitial-boundary value problemRiesz potentialsubmartingalemean-value formulaheat balls

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Martingales with discrete parameter (60G42) Initial-boundary value problems for second-order parabolic equations (35K20)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Mean Value Theorem for the Heat Equation
• On the Dirichlet problem
• Diffusions and Elliptic Operators
• Title not available (Why is that?)
• The rate of convergence of the walk on spheres algorithm
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
• Spherical and plane integral operators for PDEs. Construction, analysis, and applications
• The Floating Random Walk and Its Application to Monte Carlo Solutions of Heat Equations
• Some evaluations for continuous Monte Carlo method by using Brownian hitting process
• Title not available (Why is that?)
• Simulation of hitting times for Bessel processes with non-integer dimension
• \(\varepsilon\)-shell error analysis for ``walk on spheres algorithms
• Mean property for the heat-conduction equation
• Maggioranti e minoranti delle soluzioni delle equazioni paraboliche
• The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (7)

• Random heat equation: Solutions by the stochastic adaptive interpolation method
• Analytic-numerical solution of random boundary value heat problems in a semi-infinite bar
• A hybrid collocation/Galerkin scheme for convective heat transfer problems with stochastic boundary conditions
• Title not available (Why is that?)
• On initial-boundary value problem of the stochastic heat equation in Lipschitz cylinders
• A stochastic algorithm for solving an initial-boundary value problem for the Boltzmann equation
• Title not available (Why is that?)

This page was built for publication: Initial-boundary value problem for the heat equation -- a stochastic algorithm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1661575)