An iterative Monte Carlo method to solve nonlinear second-order differential equations

Abstract

The Monte Carlo method is a thriving and mathematically beautiful numerical technique used extensively, nowadays, to deal with many demanding problems in diverse fields. Here, we present an iterative Monte Carlo algorithm to work out very general nonlinear second-order differential equations, with Dirichlet boundary conditions. An example of its usage is, also, reported.

8 pages, 2 figures