The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain

DOI10.1016/J.MATCOM.2015.07.004MaRDI QIDQ2229032zbMATH OpenOpenAlexFDO

Authors Madalina Deaconu, Samuel Herrmann, Sylvain Maire

Publication date 19 February 2021

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

Full work available at URL https://arxiv.org/abs/1401.3695

zbMATH Keywords

Bessel processesnumerical algorithmBrownian hitting timewalk on moving spheres method

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Numerical analysis (65-XX)

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Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 3320019 (Why is no real title available?)
• A random walk on rectangles algorithm
• An algorithm for random walks over small ellipsoids for solving the general Dirichlet problem
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Computing the principal eigenvalue of the Laplace operator by a stochastic method
• Convergence rate for spherical processes with shifted centres *
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path
• Generating Random Variates Using Transformations with Multiple Roots
• Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
• Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres
• Simulation of a space-time bounded diffusion
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• The first-passage density of a continuous gaussian process to a general boundary
• The first-passage density of the Brownian motion process to a curved boundary

Cited in

(7)

• Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence
• Effective numerical methods for simulating diffusion on a spherical surface in three dimensions
• The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
• Efficient simulation of the Schrödinger equation with a piecewise constant positive potential
• Initial-boundary value problem for the heat equation -- a stochastic algorithm
• From short-range repulsion to Hele-Shaw problem in a model of tumor growth
• Strong approximation of some particular one-dimensional diffusions

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