Monte Carlo method via a numerical algorithm to solve a parabolic problem

Applied Mathematics and Computation

Volumn 190, Issue 2, 2007, Pages 1593-1601

  Farnoosh, R ^a   Ebrahimi, M ^a  

^a IRAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Iran)

Author keywords

Complexity; Efficiency; Finite difference method; Markov chain; Monte Carlo method; Parabolic partial differential equation; System of linear algebraic equations

Indexed keywords

ALGORITHMS; COMPUTATIONAL COMPLEXITY; FINITE DIFFERENCE METHOD; LINEAR EQUATIONS; MARKOV PROCESSES; PARTIAL DIFFERENTIAL EQUATIONS; PROBLEM SOLVING;

PARABOLIC PARTIAL DIFFERENTIAL EQUATION; PARABOLIC PROBLEMS; SYSTEM OF LINEAR ALGEBRAIC EQUATIONS;

MONTE CARLO METHODS;

EID: 34250717049     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2007.02.102     Document Type: Article

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