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

DOI10.1016/J.MATCOM.2015.07.004OpenAlexW2592871158MaRDI QIDQ2229032FDOQ2229032

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

Recommendations

• A random walk on rectangles algorithm
• Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
• The complexity of simulating Brownian motion
• Simulation of hitting times for Bessel processes with non-integer dimension
• An efficient algorithm to simulate a Brownian motion over irregular domains

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)

Cites Work

• Title not available (Why is that?)
• The first-passage density of a continuous gaussian process to a general boundary
• Generating Random Variates Using Transformations with Multiple Roots
• Convergence rate for spherical processes with shifted centres *
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path
• The first-passage density of the Brownian motion process to a curved boundary
• Simulation of a space-time bounded diffusion
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
• Title not available (Why is that?)
• A random walk on rectangles algorithm
• Computing the principal eigenvalue of the Laplace operator by a stochastic method
• Euler schemes and half-space approximation for the simulation of diffusion in a domain
• An algorithm for random walks over small ellipsoids for solving the general Dirichlet problem
• Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres

Cited In (7)

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

This page was built for publication: The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2229032)