FEYNMAN_KAC_1D is a C++ program which demonstrates the use of the Feynman-Kac algorithm to solve Poisson's equation in a 1D interval by averaging stochastic paths to the boundary.
The program is intended as a simple demonstration of the method. The main purpose is to have a version that runs sequentially, so that it can be compared to versions which have been enhanced using parallel programming techniques.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
FEYNMAN_KAC_1D is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
FEYNMAN_KAC_2D, a C++ program which demonstrates the use of the Feynman-Kac algorithm to solve Poisson's equation in a 2D ellipse by averaging stochastic paths to the boundary.
FEYNMAN_KAC_3D, a C++ program which demonstrates the use of the Feynman-Kac algorithm to solve Poisson's equation in a 3D ellipsoid by averaging stochastic paths to the boundary.
SDE, a MATLAB library which solves certain stochastic differential equations.
STOCHASTIC_RK, a C++ library which applies a Runge-Kutta scheme to a stochastic differential equation.
You can go up one level to the C++ source codes.