The rate of convergence of the walk on spheres algorithm (Q1938493)

The effective simulation of the Brownian motion (BM) provides a way to efficiently solve a variety of problems, such as conformal maps, tomography, and stochastic partial differential equations. In this paper, the authors examine the rate of convergence of one of the standard algorithms for emulating exit probabilities of the BM, the walk on spheres (WoS) algorithm. A complete characterization of the rate of convergence of the WoS in terms of the local geometry of a domain is obtained.