Solution of partial differential equations by a modified random walk |
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Authors: | Satoshi Hoshino Kozo Ichida |
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Affiliation: | (1) Data Processing Center Kozo Ichida, Departm. of Information Science Faculty of Engineering, Kyoto University, Kyoto, Japan |
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Abstract: | A new Monte Carlo technique is applied to solve difference equations of elliptic and parabolic partial differential equations with given boundary values. Fixed random walk is extended to modified random walk, whereby a random walk is made on a maximum square. The average number of steps and the computational time in a modified random walk is much less than in a fixed random walk. Numerical examples support the utility of this method. |
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