Monte Carlo estimation of the solution of fractional partial differential equations

DOI10.1515/FCA-2021-0012MaRDI QIDQ2020233zbMATH OpenOpenAlexWikidataFDO

Authors Vassili Kolokoltsov, Feng Lin, Aleksandar Mijatović

Publication date 23 April 2021

Published in Fractional Calculus \ Applied Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2012.13904

zbMATH Keywords

simulationcentral limit theoremBerry-Esseen boundsstable processMonte-Carlo estimationnumerical solution of fractional PDE

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Central limit and other weak theorems (60F05) Fractional derivatives and integrals (26A33) Fractional ordinary differential equations (34A08) Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Stable stochastic processes (60G52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Abstract: The paper is devoted to the numerical solutions of fractional PDEs based on its probabilistic interpretation, that is, we construct approximate solutions via certain Monte Carlo simulations. The main results represent the upper bound of errors between the exact solution and the Monte Carlo approximation, the estimate of the fluctuation via the appropriate central limit theorem(CLT) and the construction of confidence intervals. Moreover, we provide rates of convergence in the CLT via Berry-Esseen type bounds. Concrete numerical computations and illustrations are included.

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Cited in

(3)

• The Monte Carlo Markov chain method for solving the modified anomalous fractional sub-diffusion equation
• Monte Carlo method for parabolic equations involving fractional Laplacian
• Abstract McKean-Vlasov and Hamilton-Jacobi-Bellman equations, their fractional versions and related forward-backward systems on Riemannian manifolds

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