WIAS Preprint No. 524, (1999)

Monte Carlo difference schemes for the wave equation



Authors

  • Ermakov, Sergej M.
  • Wagner, Wolfgang

2010 Mathematics Subject Classification

  • 65C05

Keywords

  • Monte Carlo algorithm, stability, difference scheme, wave equation.

Abstract

The paper is concerned with Monte Carlo algorithms for iteration processes. A recurrent procedure is introduced, where information on various iteration levels is stored. Stability in the sense of boundedness of the correlation matrix of the component estimators is studied. The theory is applied to difference schemes for the wave equation. The results are illustrated by numerical examples.

Appeared in

  • Monte Carlo Methods appl. 8 (2002), pp. 1-29

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