Monte Carlo Algorithms for the Parabolic Cauchy Problem

Monte Carlo Algorithms for the Parabolic Cauchy Problem

New Monte Carlo algorithms for solving the Cauchy problem for the second order parabolic equation with smooth coefficients are considered. Unbiased estimators for the solutions of this problem are constructed.

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Veröffentlicht in:Mathematics (Basel) 2019-02, Vol.7 (2), p.177
1. Verfasser: Sipin, Alexander
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Approximation
Cauchy problem
Cauchy problems
Food science
Integral equations
Markov analysis
Monte Carlo method
Normal distribution
parabolic equation
Random variables
Sample variance
unbiased estimator
von-Neumann–Ulam scheme
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Zusammenfassung:New Monte Carlo algorithms for solving the Cauchy problem for the second order parabolic equation with smooth coefficients are considered. Unbiased estimators for the solutions of this problem are constructed.
ISSN:2227-7390
2227-7390
DOI:10.3390/math7020177