MONTE CARLO METHOD FOR SOLVING A TYPICAL PROBLEM OF PARABOLIC DIFFERENTIAL EQUATION

In this paper the writer presents a Monte Carlo solution of the difference equation corresponding to the parabolic partial differential equation （?）u/（?）t=a²△u（x,y,t）, （x,y,t）∈D under boundary condition u（x,y,t）=f（x,y,t）, （x,y,t）∈r and initial condition u（x,y.0）=g（x,y）. The method is described as a two-dimensional random walk.