【摘 要】
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Monte Carlo Methods(MCMs)have been used extensively in diverse computational applications in the sciences,engineering,and finance.This is due to their natur
【机 构】
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Florida State Univ.CS Dept
论文部分内容阅读
Monte Carlo Methods(MCMs)have been used extensively in diverse computational applications in the sciences,engineering,and finance.This is due to their natural parallelism,data parsimony and locality,and their capability to tackle high dimension problems that are otherwise intractable.In this mini-symposium,we will present several talks that study the use of MCMs to solve partial differential equations(PDEs).These include using the Feynman-Kac formula to develop MCMs for PDEs,using polynomial chaos for solving stochastic PDEs,Monte Carlo linear solvers that arise from PDEs,algorithmic issues of the walk-on-sphere method,fault tolerance in multilevel MCMs,stability analysis of MCMs for mixed type PDEs,estimation of diffusion process sensitivities,as well as the application of MCMs in capacitance calculation of microchip ICs and multi-asset finance options.
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