feyman_kac_3d

feyman_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.

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.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Languages:

feyman_kac_3d is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and codes:

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_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.

feyman_kac_3d_test

STOCHASTIC_RK, a FORTRAN90 code which applies a Runge-Kutta scheme to a stochastic differential equation.

Reference:

1. Peter Arbenz, Wesley Petersen,
   Introduction to Parallel Computing - A practical guide with examples in C,
   Oxford University Press,
   ISBN: 0-19-851576-6,
   LC: QA76.58.P47.

Source Code:

• feynman_kac_3d.f90, the source code.
• feynman_kac_3d.sh, compiles the source code.