The rate of convergence of the walk on spheres algorithm

DOI10.1007/S00039-012-0161-ZzbMath1268.60103arXiv0810.3343OpenAlexW2086833994MaRDI QIDQ1938493

Mark Braverman, Ilia A. Binder

Publication date: 4 February 2013

Published in: Geometric and Functional Analysis. GAFA (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.3343

zbMATH Keywords

potential theoryharmonic measurewalk on spheres algorithm

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Brownian motion (60J65) Harmonic, subharmonic, superharmonic functions in higher dimensions (31B05) Boundary behavior of harmonic functions in higher dimensions (31B25)

Related Items (3)

Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions ⋮ Initial-boundary value problem for the heat equation -- a stochastic algorithm ⋮ Exit problem for Ornstein-Uhlenbeck processes: a random walk approach

Cites Work

• Some evaluations for continuous Monte Carlo method by using Brownian hitting process
• Computability on subsets of Euclidean space. I: Closed and compact subsets
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• Derandomization of Euclidean Random Walks
• Two-dimensional Brownian motion and harmonic functions
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