Fractional Fokker-Planck-Kolmogorov type Equations and their Associated Stochastic Differential Equations

MSC 2010: 26A33, 35R11, 35R60, 35Q84, 60H10 Dedicated to 80-th anniversary of Professor Rudolf Gorenflo

Stochastic Solution of a KPP-Type Nonlinear Fractional Differential Equation

Mathematics Subject Classification: 26A33, 76M35, 82B31

Monte Carlo Algorithm for Solving Integral Equations with Polynomial Non-Linearity. Parallel Implementation

An iterative Monte Carlo algorithm for evaluating linear functionals of the solution of integral equations with polynomial non-linearity is proposed and studied. The method uses a simulation of branching stochastic processes. It is proved that the mathematical expectation of the introduced random variable is equal to a linear functional of the solution. The algorithm uses the so-called almost optimal density function. Numerical examples are considered. Parallel implementation of the algorithm is also realized using the package ATHAPASCAN as an environment for parallel realization.The computational results demonstrate high parallel efficiency of the presented algorithm and give a good solution when almost optimal density function is used as a transition density.

A Stochastic Approach for Investigation Ultrafast Phenomena in Semiconductors

2002 Mathematics Subject Classification: 65C05