Monte Carlo Methods for Solving Partial Differential Equations - Part III of III
For Part I, see MS-We-D-35
For Part II, see MS-We-E-35

Date: August 13
Time: 10:00--12:00
Room: 408

(Note: Click title to show the abstract.)

Mascagni, Michael (Florida State Univ. CS Dept)
Cai, Wei (Univ. of North Carolina at Charlotte)

Abstract: 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.

A Highly Scalable Communication-free Domain Decomposition BIE-WOS (Boundary Integral Equation-Walk on Spheres) Method for Laplace Equations
Yan, Changhao (Fudan Univ.)
Cai, Wei (Univ. of North Carolina at Charlotte)

Stochastic collocation method for solving PDEs with random coefficients
Shalimova, Irina (ICM&MG SB RAS)
Sabelfeld, Karl (Inst. of computational mathematics & mathematical geophysics, Russian Acad. of Sci.)

Stability issues in MC integration of SDEs
Petersen, Wes (ETH Zurich)


Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA