Exact Monte Carlo Solution of Elliptic Partial Differential Equations
Abstract
A continuous random walk procedure is developed for solving some elliptic partial differential equations with constant coefficients. The Monte Carlo method described here is exact (except possibly at the boundary) in the sense that the only error involved is the inherent statistical sampling error, that tends to zero as the sample size increases.
 Publication:

Journal of Computational Physics
 Pub Date:
 February 1981
 DOI:
 10.1016/00219991(81)901595
 Bibcode:
 1981JCoPh..39..396B