This MATLAB code implements the classical Monte Carlo method for solving partial differential equations (PDEs). The code uses the log function of the norm of a random vector as an example PDE and computes the solution at time T=1 and initial condition x0=0.
To run the code, simply run the MonteCarlo_Matlab function. The code will output the solution at the initial and final times, as well as the runtime of the code.
This code does not require any external dependencies.
This code is released under the MIT License