Simulation algorithms for the second-order parabolic Cauchy problem View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2011-09

AUTHORS

A. S. Sipin

ABSTRACT

Monte Carlo algorithms, which solve boundary value problems for the heat equation whose elliptic part is the Laplace operator, have been known for a long time [1], [2]. They essentially use the explicit form of a fundamental solution and cannot be transferred to equations containing higher derivatives with nonconstant coefficients. A simulation method for solving the Cauchy problem for a second-order parabolic equation with smooth coefficients is proposed and thoroughly studied. Unbiased estimators for both the solution of the Cauchy problem and functionals of this solution are constructed. More... »

PAGES

223

Identifiers

URI

http://scigraph.springernature.com/pub.10.3103/s1063454111030095

DOI

http://dx.doi.org/10.3103/s1063454111030095

DIMENSIONS

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