NONLINEAR PROBLEM SOLUTION CONVERGENCE FOR THE MONTE-CARLO METHOD

A. I. Morenko
Vant. Ser. Metodiki i Programmy Chislennogo Resheniya Zadach Matematicheskoy Fiziki 1983. Вып.3. С. 55-58.

      Using the Monte-Carlo method to solve nonlinear problems is examined. A solution represented as a random sequence in a solution space permits to obtain a limiting random process when minimizing the time step size.
      These process paths decribe solutions given by the Monter-Carlo method with a sufficiently small time step size. Some equations for conditional mathematical expectations of functionals being calculated are derived.