Application of Neumann-Ulam scheme to solving the first boundary value problem for a parabolic equation

Statistical estimates of the solutions of boundary value problems for parabolic equations with constant coefficients are constructed on paths of random walks. The phase space of these walks is a region in which the problem is solved or the boundary of the region. The simulation of the walks employs the explicit form of the fundamental solution; therefore, these algorithms cannot be directly applied to equations with variable coefficients. In the present work, unbiased and low-bias estimates of the solution of the boundary value problem for the heat equation with a variable coefficient multiplying the unknown function are constructed on the paths of a Markov chain of random walk on balloids. For studying the properties of the Markov chains and properties of the statistical estimates, the author extends von Neumann-Ulam scheme, known in the theory of Monte Carlo methods, to equations with a substochastic kernel. The algorithm is based on a new integral representation of the solution to the boundary value problem.