Monte Carlo method for parabolic equations involving fractional Laplacian

DOI10.1515/MCMA-2022-2129OpenAlexW4307535992MaRDI QIDQ2692995FDOQ2692995

Publication date: 17 March 2023

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.15192

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[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]fractional Laplacian Monte Carlo method jump-adapted scheme linear parabolic equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11)

Cites Work

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Cited In (6)

Monte Carlo estimates of the solution of a parabolic equation and its derivatives made by solving stochastic differential equations
The Monte Carlo Markov chain method for solving the modified anomalous fractional sub-diffusion equation
Monte Carlo methods for uniform approximation on periodic Sobolev spaces with mixed smoothness
A hybrid parareal Monte Carlo algorithm for parabolic problems
Monte Carlo method for parabolic equations involving fractional Laplacian
Monte Carlo method for the Cauchy problem of fractional diffusion equation concerning fractional Laplacian

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