Convergence asymptotics of discrete-stochastic numerical methods for global estimation of a solution to an integral equation of the second kind

DOI10.1007/BF02106607MaRDI QIDQ1920787zbMATH OpenFDO

Authors A. V. Vojtishek

Publication date 4 December 1996

Published in Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02106607

zbMATH Keywords

convergence asymptoticsdiscrete-stochastic numerical methodsintegral equation of the second kindMonte Carlo method

Mathematics Subject Classification ID

Fredholm integral equations (45B05) Monte Carlo methods (65C05) Numerical methods for integral equations (65R20)

Review text

Our topic is approximation to a solution \(\varphi (x)\) of the one-dimensional integral equation of the second kind \[ \varphi (x) = \int^b_a k(x',x) \varphi (x') dx' + \psi (x) \quad \text{or} \quad \varphi = K \varphi + \psi, \tag{1} \] where \(x \in [a,b] \subset \mathbb{R}\), the functions \(k\) and \(\psi\) are known, \(\psi \in L_\infty\), \(K \in [L_\infty \to L_\infty]\); moreover, \(|K_1 |< 1\), where \(K_1\) is the operator with kernel \(k_1 (x',x) = |k (x',x) |\). We study discrete-stochastic numerical procedures for global estimation of a solution to equation (1). We introduce a discrete mesh \(\{x_i\}\) in \([a,b]\), calculate the values \(\{\varphi (x_i)\}\) by the Monte Carlo method, and afterwards interpolate the function \(\varphi (x)\) by using the values at the nodes of the mesh.

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(10)

• Monte Carlo complexity of global solution of integral equations
• On the paper ``Convergence asymptotics of discrete-stochastic numerical methods for global estimation of a solution to an integral equation of the second kind
• Convergence of discrete-stochastic numerical procedures with independent or weakly dependent estimators at grid nodes
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