Monte Carlo solution of a parabolic equation with a random coefficient

N. A. Simonov

Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, Novosibirsk, Russia

Abstract: A parabolic equation is considered. Its coefficient in the linear term, the right-hand side, and the initial value of the equation are random functions. Some Monte Carlo estimators for sample values of its solution and for some functionals are constructed and verified.

UDC: 519.245

Received: 15.01.2001

Language: English

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