Integral equations play a crucial role in various domains of applied mathematics, physics, and engineering. They are extensively utilized in fields such as mechanics, geophysics, kinetic theory of gases, quantum mechanics, mathematical economics, and queuing theory, among others. The broad applicability of these equations necessitates the development and study of efficient, reliable, and versatile methods for their solution. In this paper, we focus on an unbiased stochastic approach to solve multidimensional Fredholm integral equations of the second kind. The proposed method is designed to maintain high accuracy while minimizing computational complexity, making it suitable for handling complex problems involving irregular kernels and solutions. Through rigorous analysis and extensive numerical experiments, we demonstrate the robustness and effectiveness of this approach, highlighting its potential advantages over traditional deterministic methods, particularly in higher-dimensional spaces where conventional techniques often struggle with the curse of dimensionality.

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Advanced Unbiased Monte Carlo for Multidimensional Fredholm Integral Equations

  • Venelin Todorov,
  • Slavi Georgiev,
  • Stoyan Apostolov,
  • Yuri Dimitrov

摘要

Integral equations play a crucial role in various domains of applied mathematics, physics, and engineering. They are extensively utilized in fields such as mechanics, geophysics, kinetic theory of gases, quantum mechanics, mathematical economics, and queuing theory, among others. The broad applicability of these equations necessitates the development and study of efficient, reliable, and versatile methods for their solution. In this paper, we focus on an unbiased stochastic approach to solve multidimensional Fredholm integral equations of the second kind. The proposed method is designed to maintain high accuracy while minimizing computational complexity, making it suitable for handling complex problems involving irregular kernels and solutions. Through rigorous analysis and extensive numerical experiments, we demonstrate the robustness and effectiveness of this approach, highlighting its potential advantages over traditional deterministic methods, particularly in higher-dimensional spaces where conventional techniques often struggle with the curse of dimensionality.