Hi there,

Hopefully the mathematics community can help me out this one, I'm currently studying my senior capstone at my college, and decided to do some research on a chapter in Stanley Farlow's book "Partial Differential Equations for Scientists and Engineers". Basically in one of the chapters he describes a way one can create a game to approximate solutions to PDE's by using the various difference formula's.

Farlow gives a few examples in his book. Namely the dirichlet problem on a square with the laplace equation, however I'd like to extend this result to parabolic and hyperbolic PDE's, and then eventually extend those results to 3-dimensional games. My problem is that I'm unable to find any past research using game theory in this manner other than this one chapter in this book. And I'm not sure if my own foundation in numerical solutions is good enough to do this thing on my own. In other words, I need help.

To give an example of what the game is, start with an nxm lattice, then pick an interior point and run a Monte Carlo simulation that computes random walks from any point $u_{i,j}$ on the lattice to a bound. The game ends when the player hits the bound, and is then given a value(prize) that depends on the boundry/initial conditions. It turns out that the solution to the pde using finite difference equations at that point is the average of the four neighboring points, and so on. Here are some of the questions I NEED to answer, and it would be of great help if I could get some direction on them:

Do you think the random walks on the bounded lattice are self avoiding? I.e. Can the player intersect with the path they've already made? This would definitely change the outcome of the probabilities of a player reaching the bound.

Are there any other good undergraduate-ish texts/resources that give examples of employing finite difference methods on nonlinear PDE's and PDE's with variable coefficients such as $u_{xx} + \sin(x)u_{yy}=0$? (with appropriate boundary/initial conditions) Or just good undergrad resources in general for numerical methods for PDE's? I've gone to my library to check some books out, and some of them are way way way over my head, so I've got to be careful.

What would be the best way to code such a program to compute these walks? I'm pretty sure it's doable in both Mathematica and C++, as to what kind of plan I would make to write it..I've no idea yet.(Making the program would answer definitively if the walks are self avoiding or not)

Google books has a slice of the chapter online, http://books.google.com/books?id=DLUYeSb49eAC&pg=PA347&lpg=PA347&dq=%22tour+du+wino%22&source=bl&ots=vmsz2z6uAP&sig=rZiqwWJ8ESgokmYmBga8qtGVG8U&hl=en&ei=dEaOTp26EeTKsQLg1LymAQ&sa=X&oi=book_result&ct=result&resnum=4&ved=0CDIQ6AEwAw#v=onepage&q=%22tour%20du%20wino%22&f=false

I wish there was someone like Erdos who could just have insane memory to remember past papers on a topic.