feynman_kac_2d, a FORTRAN90 code which demonstrates the use of the Feynman-Kac algorithm to solve Poisson's equation in a 2D ellipse by averaging stochastic paths to the boundary.
The code 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 techniques.
The computer code and data files described and made available on this web page are distributed under the MIT license
feynman_kac_2d is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
FEYNMAN_KAC_1D, a FORTRAN90 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 FORTRAN90 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.
STOCHASTIC_RK, a FORTRAN90 code which applies a Runge-Kutta scheme to a stochastic differential equation.