Monte Carlo method for parabolic equations involving fractional Laplacian
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We apply the Monte Carlo method to solving the Dirichlet problem of linear parabolic equations with fractional Laplacian. This method exploit- s the idea of weak approximation of related stochastic differential equations driven by the symmetric stable Lévy process with jumps. We utilize the jump- adapted scheme to approximate Lévy process which gives exact exit time to the boundary. When the solution has low regularity, we establish a numeri- cal scheme by removing the small jumps of the Lévy process and then show the convergence order. When the solution has higher regularity, we build up a higher-order numerical scheme by replacing small jumps with a simple process and then display the higher convergence order. Finally, numerical experiments including ten- and one hundred-dimensional cases are presented, which confirm the theoretical estimates and show the numerical efficiency of the proposed schemes for high dimensional parabolic equations.
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