Monte Carlo estimates of the solution of a parabolic equation and its derivatives made by solving stochastic differential equations

• Published in: Communications in nonlinear science & numerical simulation Vol. 9; no. 2; pp. 177 - 185
• Main Author: Gusev, S.A.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.04.2004
• Subjects: Euler method; Parabolic equation; Parametric derivative; Stochastic differential equation; 35K20; Parabolic equation; 65C30; 60J60; 35B30; 65C05; Euler method; Parametric derivative; 60H35; Stochastic differential equation

In this paper a method of estimation of both the solution to a parabolic boundary value problem and its derivatives with respect to parameters and spatial variables is proposed. The method uses a probability representation of a solution of a parabolic equation in the form of a functional of a diffus...