The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain

DOI10.1016/j.matcom.2015.07.004OpenAlexW2592871158MaRDI QIDQ2229032

Madalina Deaconu, Samuel Herrmann, Sylvain Maire

Publication date: 19 February 2021

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

Full work available at URL: https://arxiv.org/abs/1401.3695

zbMATH Keywords

Bessel processesnumerical algorithmBrownian hitting timewalk on moving spheres method

Mathematics Subject Classification ID

Numerical analysis (65-XX) Probability theory and stochastic processes (60-XX)

Related Items (6)

Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence ⋮ Initial-boundary value problem for the heat equation -- a stochastic algorithm ⋮ From short-range repulsion to Hele-Shaw problem in a model of tumor growth ⋮ Strong approximation of some particular one-dimensional diffusions ⋮ Efficient simulation of the Schrödinger equation with a piecewise constant positive potential ⋮ Effective numerical methods for simulating diffusion on a spherical surface in three dimensions

Cites Work

• Unnamed Item
• Unnamed Item
• Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
• Computing the principal eigenvalue of the Laplace operator by a stochastic method
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• An algorithm for random walks over small ellipsoids for solving the general Dirichlet problem
• Simulation of a space-time bounded diffusion
• A random walk on rectangles algorithm
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• The first-passage density of a continuous gaussian process to a general boundary
• The first-passage density of the Brownian motion process to a curved boundary
• Generating Random Variates Using Transformations with Multiple Roots
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• Convergence rate for spherical processes with shifted centres *
• Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path

This page was built for publication: The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain