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

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

Authors Madalina Deaconu, Samuel Herrmann

Publication date 16 August 2018

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

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

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)

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.

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Cited in

(8)

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• On some stochastic algorithms for the numerical solution of the first boundary value problem for the heat equation
• A hybrid collocation/Galerkin scheme for convective heat transfer problems with stochastic boundary conditions
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• Analytic-numerical solution of random boundary value heat problems in a semi-infinite bar

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