Walk-on-spheres algorithm for solving third boundary value problem

DOI10.1016/j.aml.2016.09.008zbMath1353.65132OpenAlexW2518731409MaRDI QIDQ338979

Nikolai A. Simonov

Publication date: 7 November 2016

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2016.09.008

zbMATH Keywords

algorithmMonte CarloMarkov chainLaplace equationrandom walkthird boundary value problem

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05)

Related Items (7)

Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems ⋮ A global random walk on spheres algorithm for transient heat equation and some extensions ⋮ A path integral Monte Carlo (PIMC) method based on Feynman-Kac formula for electrical impedance tomography ⋮ Monte Carlo algorithm for the Robin boundary conditions in application to solving a model diffusion-recombination problem ⋮ Monte Carlo Algorithms for Problems with Partially Reflecting Boundaries ⋮ A global random walk on grid algorithm for second order elliptic equations ⋮ A global random walk on grid algorithm for second order elliptic equations

Cites Work

• Monte Carlo methods for solving elliptic equations with boundary conditions containing the normal derivative
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• Functional Integration and Partial Differential Equations. (AM-109)
• Monte Carlo methods for solving boundary value problems of the second and third kinds
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