\(\varepsilon\)-shell error analysis for ``walk on spheres algorithms

DOI10.1016/S0378-4754(03)00038-7zbMath1025.65007WikidataQ57553799 ScholiaQ57553799MaRDI QIDQ1399954

Chi-Ok Hwang, Michael Mascagni

Publication date: 30 July 2003

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

algorithmGreen's functionMonte Carlo methoderror boundsboundary value problemLaplace equationPoisson equationssimulation-tabulation methodWalk On Spheres (WOS)

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Integral representations of solutions to PDEs (35C15) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Boundary element methods for boundary value problems involving PDEs (65N38)

Related Items (10)

A Parallel Iterative Probabilistic Method for Mixed Problems of Laplace Equations with the Feynman--Kac Formula of Killed Brownian Motions ⋮ Off-centered ``walk-on-spheres (WOS) algorithm ⋮ A partially reflecting random walk on spheres algorithm for electrical impedance tomography ⋮ Initial-boundary value problem for the heat equation -- a stochastic algorithm ⋮ Path integrals formulations leading to propagator evaluation for coupled linear physics in large geometric models ⋮ Multilevel Monte Carlo for the Feynman-Kac formula for the Laplace equation ⋮ Analysis and comparison of Green's function first-passage algorithms with ``Walk on spheres algorithms. ⋮ A Highly Scalable Boundary Integral Equation and Walk-On-Spheres (BIE-WOS) Method for the Laplace Equation with Dirichlet Data ⋮ Revisiting Kac's method: a Monte Carlo algorithm for solving the telegrapher's equations ⋮ Monte Carlo methods for computing the capacitance of the unit cube

Cites Work

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• A Monte Carlo method for Poisson's equation
• Exact Monte Carlo solution of elliptic partial differential equations
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• Regional Monte Carlo solution of elliptic partial differential equations
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• Functional Integration and Partial Differential Equations. (AM-109)
• From Brownian Motion to Schrödinger’s Equation
• The simulation-tabulation method for classical diffusion Monte Carlo

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