A global random walk on grid algorithm for second order elliptic equations

Sabelfeld Karl K. () and Smirnov Dmitrii ()
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Sabelfeld Karl K.: Institute of Computational Mathematics and Mathematical Geophysics, Russian Academy of Sciences, 630090, Novosibirsk, Lavrentiev str. 6; and Novosibirsk State University, Russia
Smirnov Dmitrii: Institute of Computational Mathematics and Mathematical Geophysics, Russian Academy of Sciences, 630090, Novosibirsk, Lavrentiev str. 6; and Novosibirsk State University, Russia

Monte Carlo Methods and Applications, 2021, vol. 27, issue 3, 211-225

Abstract: We suggest in this paper a global random walk on grid (GRWG) method for solving second order elliptic equations. The equation may have constant or variable coefficients. The GRWS method calculates the solution in any desired family of m prescribed points of the gird in contrast to the classical stochastic differential equation based Feynman–Kac formula, and the conventional random walk on spheres (RWS) algorithm as well. The method uses only N trajectories instead of mN trajectories in the RWS algorithm and the Feynman–Kac formula. The idea is based on the symmetry property of the Green function and a double randomization approach.

Keywords: Green’s function; elliptic equations; fundamental solution; random walks on grids; double randomization (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1515/mcma-2021-2092

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