Initial-Boundary Value Problem for the heat equation - A stochastic   algorithm
  The Initial-Boundary Value Problem for the heat equation is solved by using a new algorithm based on a random walk on heat balls. Even if it represents a sophisticated generalization of the Walk on Spheres (WOS) algorithm introduced to solve the Dirich-let problem for Laplace's equation, its implementation is rather easy. The definition of the random walk is based on a new mean value formula for the heat equation. The convergence results and numerical examples permit to emphasize the efficiency and accuracy of the algorithm. 
Madalina Deaconu (TOSCA), Samuel Herrmann (IMB)
math.PR