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Abstract
- In this work we construct new algorithms of the method of statistical simulation for the numerical solution of the third boundary value problem for a parabolic-type equation. They are based on a combination of the probabilistic representation of the solution and the difference approximation of the boundary condition. We derive the estimate of the solution to the boundary value problem using the diffusion process with a rebound from the boundary. Unlike the available schemes for the weak approximation, in the approach proposed we do not use the local time of the diffusion process, which substantially complicates numerical estimates
Published Online: 2014-10-9
Published in Print: 2002-12-1
© 2014 by Walter de Gruyter Berlin/Boston
