Stochastic simulation and Monte-Carlo methods
In this paper a method of estimation of both the solution of a parabolic boundary problem and its derivatives with respect to spatial variables is suggested. The method uses a probability representation of a solution of a parabolic equation in the form of a functional of a diffusion process. This process is the solution of a system of stochastic differential equations (SDE) corresponding to the parabolic operator. To obtain the derivatives of the solution of the parabolic boundary problem the differentiate of the SDE system, which is used for estimation of the solution, with respect to the initial data is applied. In order to simulate the trajectories of the considering SDE systems we use the generalized Euler method with constant integration step Some numerical results are presented in the paper.
Note. Abstracts are published in author's edition
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