feynman_kac_2d, a C code which demonstrates the Feynman-Kac algorithm to solve Poisson's equation in a 2D ellipse by averaging stochastic paths to the boundary.
The program is intended as a simple demonstration of the method. The main purpose is to have a version that runs sequentially, so that it can be compared to versions which have been enhanced using parallel programming techniques.
The information on this web page is distributed under the MIT license.
feynman_kac_2d is available in a C version and a C++ version and a Fortran77 version and a Fortran90 version and a MATLAB version and an Octave version.
feynman_kac_1d, a C code which demonstrates the use of the Feynman-Kac algorithm to solve Poisson's equation in a 1D interval by averaging stochastic paths to the boundary.
feynman_kac_3d, a C code which demonstrates the use of the Feynman-Kac algorithm to solve Poisson's equation in a 3D ellipsoid by averaging stochastic paths to the boundary.
sde, a C code which solves certain stochastic differential equations.
stochastic_rk, a C code which applies a Runge-Kutta scheme to a stochastic differential equation.