Analysis and comparison of Green's function first-passage algorithms with ``Walk on spheres algorithms.

DOI10.1016/S0378-4754(03)00091-0zbMath1037.65003OpenAlexW2019364954WikidataQ57553659 ScholiaQ57553659MaRDI QIDQ1418589

Chi-Ok Hwang, Michael Mascagni

Publication date: 14 January 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(03)00091-0

zbMATH Keywords

diffusion processesComplexity analysisBrownian matrixGreen's function first-passage algorithmWalk on spheres method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Integral representations of solutions to PDEs (35C15) Diffusion processes (60J60)

Cites Work

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• Exact Monte Carlo solution of elliptic partial differential equations
• Regional Monte Carlo solution of elliptic partial differential equations
• \(\varepsilon\)-shell error analysis for ``walk on spheres algorithms
• Integral and probabilistic representations for systems of elliptic equations
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• On the rapid estimation of permeability for porous media using Brownian motion paths
• Functional Integration and Partial Differential Equations. (AM-109)
• Rapid Diffusion Monte Carlo Algorithms for Fluid Dynamic Permeability
• The simulation-tabulation method for classical diffusion Monte Carlo

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