Monte Carlo Method for Solving the Fredholm Integral Equations of the Second Kind

Abstract

This article is concerned with a numerical algorithm for solving approximate solutions of Fredholm integral equations of the second kind with random sampling. We use Simpson’s rule for solving integral equations, which yields a linear system. The Monte Carlo method, based on the simulation of a finite discrete Markov chain, is employed to solve this linear system. To show the efficiency of the method, we use numerical examples. Results obtained by the present method indicate that the method is an effective alternate method.