An efficient algorithm to simulate a Brownian motion over irregular domains

DOI10.4208/CICP.240209.031209AMaRDI QIDQ5268747zbMATH OpenOpenAlexFDO

Authors Samih Zein, Antoine Lejay, Madalina Deaconu

Publication date 20 June 2017

Published in Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/cicp.240209.031209a

zbMATH Keywords

Brownian motionEuler schemeMonte Carlo methodspartial differential equationsrandom walk on rectangles

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

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(8)

• The rate of convergence of the walk on spheres algorithm
• Algorithms for Brownian dynamics across discontinuities
• The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
• An integral equation for Root's barrier and the generation of Brownian increments
• Algorithm for generating a Brownian motion on a sphere
• Optimal Choices of Correlation Operators in Brownian Simulation Methods
• The complexity of simulating Brownian motion
• Escape-from-a-layer approach for simulating the boundary local time in Euclidean domains

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