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Random Walk and the Heat Equation


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Random Walk and the Heat Equation - Lawler, Gregory F.
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The heat equation can be derived by averaging over a very large number of particles. Traditionally, the resulting PDE is studied as a deterministic equation, an approach that has brought many significant results and a deep understanding of the equation and its solutions. By studying the heat equation by considering the individual random particles, however, one gains further intuition into the problem. While this is now standard for many researchers, this approach is generally not presented at the undergraduate level. In ...

Random Walk and the Heat Equation 2011, American Mathematical Society, Providence

ISBN-13: 9780821848296