feynman_kac_2d


feynman_kac_2d, a MATLAB 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 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.

Licensing:

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

Languages:

feynman_kac_2d is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

feynman_kac_1d, a MATLAB 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.

feyman_kac_2d_test

feynman_kac_3d, a MATLAB 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 MATLAB code which solves certain stochastic differential equations.

stochastic_rk, a MATLAB code which applies a Runge-Kutta scheme to a stochastic differential equation.

Reference:

  1. Peter Arbenz, Wesley Petersen,
    Introduction to Parallel Computing,
    Oxford University Press,
    ISBN: 0-19-851576-6,
    LC: QA76.58.P47.

Source Code:


Last revised on 21 January 2019.