TY - JOUR
TI - Monte Carlo method for solving a parabolic problem
AU - Tian Yi
AU - Yan Zai-Zai
JN - Thermal Science
PY - 2016
VL - 20
IS - 3
SP - 933
EP - 937
PT - Article
AB - In this paper, we present a numerical method based on random sampling for a  parabolic problem. This method combines use of the Crank-Nicolson method and  Monte Carlo method. In the numerical algorithm, we first discretize governing  equations by Crank-Nicolson method, and obtain a large sparse system of  linear algebraic equations, then use Monte Carlo method to solve the linear  algebraic equations. To illustrate the usefulness of this technique, we apply  it to some test problems.