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

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

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Publication:6248149

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DOI10.1016/J.MATCOM.2015.07.004arXiv1401.3695MaRDI QIDQ6248149

Samuel Herrmann, Madalina Deaconu, Sylvain Maire

Publication date: 15 January 2014

Mathematics Subject Classification ID

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

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