Monte Carlo Methods for Solving Hyperbolic Equations

Denis M. Enachescu
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Denis M. Enachescu: University of Bucharest, Computing Centre

A chapter in Probability and Statistical Inference, 1982, pp 73-85 from Springer

Abstract: Abstract Using the Monte Carlo method, the paper develops original numerical techniques for solving the mixed problem for second order hyperbolic partial differential equations. Unbiased estimators for the solution are built-up and their stability and convergence are studied. The efficiency of the method is investigated from two points of view : the sample size necessary to obtain given error and the average number of operations in order to estimate the solution. Finally, the algorithm for the method is presented.

Keywords: Monte Carlo Method; Markov Process; Hyperbolic Equation; Mixed Problem; Gauss Method (search for similar items in EconPapers)
Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-009-7840-9_9

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DOI: 10.1007/978-94-009-7840-9_9

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