摘要
An approach of solving the finite difference equations with Monte Carlo method was presented. The accuracy of algorithm is guaranteed by the Central Limit Theorem. The computation of the value on each single node is independent of each other, which makes it easy to realize the algorithm in parallel processing and greatly improves the efficiency while dealing with local area computation. As long as different kinds of boundary conditions are statistics modeled,wide applications can the be made where the finite difference method is of competence.
An approach of solving the finite difference equations with Monte Carlo method was presented. The accuracy of algorithm is guaranteed by the Central Limit Theorem. The computation of the value on each single node is independent of each other, which makes it easy to realize the algorithm in parallel processing and greatly improves the efficiency while dealing with local area computation. As long as different kinds of boundary conditions are statistics modeled,wide applications can the be made where the finite difference method is of competence.
