Numerical resolution of a few PDEs using Markov Chains. We cover three differential equations with Dirichlet boundary conditions:
For the second equation, we suggest two different methods (
Feynman-Kac). For each method we include three Jupyter notebooks:
- The first (
proof) contains a description of the method and a proof that it provides a good approximation of the equation's solution.
- The second (
edge_reached) contains the code computing and plotting an approximation of the solution.
- The third (
evolution) contains the code computing and plotting an approximation of the evolution of the associated time-dependent equation (e.g. the Heat equation for the Laplace equation).
This project is under the MIT license.