Effective numerical methods for simulating diffusion on a spherical surface in three dimensions

DOI10.1007/S11075-022-01315-WzbMath1503.65010OpenAlexW4281298440WikidataQ114224271 ScholiaQ114224271MaRDI QIDQ2098797

Grant Lythe, Kevin Burrage, Pamela M. Burrage

Publication date: 22 November 2022

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-022-01315-w

zbMATH Keywords

Brownian motionstochastic differential equationsdiffusion on a sphere

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula
• A particle migrating randomly on a sphere
• The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
• Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• Brownian Motion on the Surface of the 3-Sphere
• On Brownian motions in $n$-space
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