On Some Stochastic Algorithms for the Numerical Solution of the First Boundary Value Problem for the Heat Equation

DOI10.1007/978-3-030-56323-3_11zbMath1454.65129OpenAlexW3093677641MaRDI QIDQ5132140

A. N. Kuznetsov, Alexander Sipin

Publication date: 9 November 2020

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-56323-3_11

zbMATH Keywords

heat equationrandom walksstochastic algorithms

Mathematics Subject Classification ID

Heat equation (35K05) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41) Complexity and performance of numerical algorithms (65Y20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Cites Work

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• Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
• Stochastic Methods for Boundary Value Problems
• Multilevel Monte Carlo Path Simulation

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