Monte Carlo method for parabolic equations involving fractional Laplacian

DOI10.1515/mcma-2022-2129OpenAlexW4307535992MaRDI QIDQ2692995

Yanyan Li

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

zbMATH Keywords

Monte Carlo methodLévy processlinear parabolic equationfractional Laplacianjump-adapted scheme

Mathematics Subject Classification ID

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

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