Group: MCPDE

Monte Carlo Methods for Partial Differential Equations

Department of Computer Science
Florida State University

Consider a boundary value problem in a domain G with a boundary dG. Monte Carlo methods are very efficient for multidimensional problems in complicated domains.
There are two main Monte Carlo approaches for solving boundary value problems:
Path integrals. This approach includes numerical shemes based on approximate calculation of path integrals representing the solution of the corresponding boundary value problem.
Random walks. This approach is based on using a local integral representation of the solution for standard domains contained with the domain G (for example, a sphere, a ball, an elliposoide etc.). This leads to a Fredholm integral equation of the second type to be solved.
The well known "random walk on grid points" can be considered in the framework of the first approach as such walks are discrete approximation of a random process.

Time: Wednesdays 8:00 AM
Place: 486 Dirac Science Library
Peter Bismuti
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Dr. Aneta Karaivanova
Hongmei Chi
Dr. Chi-Ok Hwang
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Xeukun Kou
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PRNG Group
Testing Group
QRNG Group
Discrete Group
QMC Group
Finance Group
Prof. Michael Mascagni
Ethan Kromhout
Project 10
Monte Carlo Methods for PDEs

Green's Functions for Diffusion monte Carlo

Project 13
Distributed Computing Support for Monte Carlo

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