Monte Carlo Algorithms for the Parabolic Cauchy Problem

Alexander Sipin
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Alexander Sipin: Institute of Mathematics, Natural Science and Computer Science, Vologda State University, 160000 Vologda, Russia

Mathematics, 2019, vol. 7, issue 2, 1-10

Abstract: 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.

Keywords: parabolic equation; Cauchy problem; Monte Carlo method; unbiased estimator; von-Neumann–Ulam scheme (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2019
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