Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates

Jiaying Feng, Changtao Sheng, Chenglong Xu

This paper introduces a spectral Monte Carlo iterative method (SMC) for solving linear Poisson and parabolic equations driven by $\hat{I}\pm$-stable Lévy process with $\hat{I}\pm \in (0,2)$, which…