A NOTE ON THE MONTE CARLO METHOD AND THE POTENTIAL EQUATION,
RAND CORP SANTA MONICA CALIF
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In connection with the seminar on stochastic processes held jointly with RAND and the Institute for Numerical Analysis, it is perhaps of interest to mention some recent work initiated by Doetsch which presents the possibility of applying the Monte Carlo method to the numerical solution of the potential equation. The fundamental idea, and one which seems susceptible of great generalization, is that of forming a solution of one class of equations using solutions of another class. Thus, in particular, solutions of the potential equation are formed from those of the heat equation. Expressed in this general form, this method connects closely with the work of Bergmann, who has used the solutions of the potential equation to obtain solutions of more general classes of equations.
- Statistics and Probability