Cauchy问题概率解法收敛性

A PROBABILITY SOLUTION AND WEAK CONSISTENCE FOR CAUCHY PROBLEM

对于抛物型偏微分方程中的Ｃａｕｃｈｙ问题，本文给出了用Ｍｏｎｔｅ－Ｃａｒｌｏ 方法计算出某布朗运动中ｔ时刻前之期望值的数值解法。

In this paper a numerical solution method is given to evaluate the expectation value of before time t in a Brown motion for Cauchy problem of a parabolic partial differential equation,and the proof of weak consistence of this solution is shown.