Some Continuous Monte Carlo Methods for the Dirichlet Problem
From MaRDI portal
Publication:3240988
DOI10.1214/aoms/1177728169zbMath0075.28902OpenAlexW2006533898MaRDI QIDQ3240988
Publication date: 1956
Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoms/1177728169
Related Items
A Feynman-Kac path-integral implementation for Poisson's equation using an \(h\)-conditioned Green's function ⋮ Numerical methods for nonlocal and fractional models ⋮ Allgemeiner Bericht über Monte-Carlo-Methoden ⋮ 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 ⋮ Sequential Monto Carlo techniques for the solution of linear systems ⋮ Solving boundary value problems with complex parameters by the Monte Carlo method ⋮ The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach ⋮ Numerical solution of the Robin problem of Laplace equations with a Feynman-Kac formula and reflecting Brownian motions ⋮ Walk-on-spheres algorithm for solving third boundary value problem ⋮ A first-passage kinetic Monte Carlo method for reaction-drift-diffusion processes ⋮ Random walk on spheres method for solving drift-diffusion problems ⋮ Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence ⋮ Initial-boundary value problem for the heat equation -- a stochastic algorithm ⋮ Solving the Dirichlet problem for nonlinear elliptic equations by the Monte Carlo method ⋮ Integral and probabilistic representations for systems of elliptic equations ⋮ To the theory of the estimators of the Monte Carlo method which are connected with a ``random walk by spheres ⋮ Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems ⋮ A method for generating uniformly distributed points on \(N\)-dimensional spheres ⋮ Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS) ⋮ On the Dirichlet problem ⋮ A new global random walk algorithm for calculation of the solution and its derivatives of elliptic equations with constant coefficients in an arbitrary set of points ⋮ A global random walk on spheres algorithm for transient heat equation and some extensions ⋮ A numerical method for solving snapping out Brownian motion in 2D bounded domains ⋮ Exit problem for Ornstein-Uhlenbeck processes: a random walk approach ⋮ A modified walk‐on‐sphere method for high dimensional fractional Poisson equation ⋮ Path integrals formulations leading to propagator evaluation for coupled linear physics in large geometric models ⋮ Stochastic estimation of Green's functions with application to diffusion and advection-diffusion-reaction problems ⋮ A path integral Monte Carlo (PIMC) method based on Feynman-Kac formula for electrical impedance tomography ⋮ Monte Carlo algorithm for the Robin boundary conditions in application to solving a model diffusion-recombination problem ⋮ The rate of convergence of the walk on spheres algorithm ⋮ From short-range repulsion to Hele-Shaw problem in a model of tumor growth ⋮ \(\varepsilon\)-shell error analysis for ``walk on spheres algorithms ⋮ Two stochastic algorithms for solving elastostatics problems governed by the Lamé equation ⋮ Random walk on spheres method for solving anisotropic transient diffusion problems and flux calculations ⋮ Mathematical imaging and surface processing. Abstracts from the workshop held August 21--27, 2022 ⋮ Stochastic simulation algorithms for solving transient anisotropic diffusion-recombination equations and application to cathodoluminescence imaging ⋮ Phase transition in noisy high-dimensional random geometric graphs ⋮ Computation of Riesz \(\boldsymbol{\alpha }\)-Capacity \(\boldsymbol{\textrm{C}}_{\boldsymbol{\alpha}}\) of General Sets in \(\boldsymbol{\mathbb{R}}^{\boldsymbol{d}}\) Using Stable Random Walks ⋮ Monte Carlo method for parabolic equations involving fractional Laplacian ⋮ Development and implementation of branching random walk on spheres algorithms for solving the 2D elastostatics Lamé equation ⋮ Multilevel Monte Carlo for the Feynman-Kac formula for the Laplace equation ⋮ A random walk on rectangles algorithm ⋮ A mesh free stochastic algorithm for solving diffusion-convection-reaction equations on complicated domains ⋮ Approximation of exit times for one-dimensional linear diffusion processes ⋮ Green's function Monte Carlo algorithms for elliptic problems. ⋮ Analysis and comparison of Green's function first-passage algorithms with ``Walk on spheres algorithms. ⋮ A Monte Carlo method for finite difference equations of elliptic type in a multiregion domain ⋮ Unnamed Item ⋮ What is the fractional Laplacian? A comparative review with new results ⋮ First passage Monte Carlo algorithms for solving coupled systems of diffusion-reaction equations ⋮ Simulating diffusions with piecewise constant coefficients using a kinetic approximation ⋮ Monte Carlo Algorithms for Problems with Partially Reflecting Boundaries ⋮ Stochastic finite differences for elliptic diffusion equations in stratified domains ⋮ The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain ⋮ On the rapid estimation of permeability for porous media using Brownian motion paths ⋮ Bimolecular Binding Rates for Pairs of Spherical Molecules with Small Binding Sites ⋮ A physicist’s guide to explicit summation formulas involving zeros of Bessel functions and related spectral sums ⋮ Random walk on spheres method for solving anisotropic drift-diffusion problems ⋮ 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 solving elliptic equations with boundary conditions containing the normal derivative ⋮ Efficient simulation of the Schrödinger equation with a piecewise constant positive potential ⋮ Random walk on ellipsoids method for solving elliptic and parabolic equations ⋮ Simulation of diffusions by means of importance sampling paradigm ⋮ The simulation-tabulation method for classical diffusion Monte Carlo ⋮ A Matlab software for approximate solution of 2D elliptic problems by means of the meshless Monte Carlo random walk method ⋮ A global random walk on grid algorithm for second order elliptic equations ⋮ Geometry entrapment in walk-on-subdomains ⋮ A global random walk on grid algorithm for second order elliptic equations ⋮ Numerical Modeling of the Linear Relaxational Filtration by Monte Carlo Methods ⋮ Last-passage Monte Carlo algorithm for charge density on a conducting spherical surface ⋮ Yukawa potential, panharmonic measure and Brownian motion ⋮ A Monte Carlo method for Poisson's equation ⋮ Solution of partial differential equations by a modified random walk ⋮ Solution of partial differential equations by a modified random walk ⋮ Random walk on spheres algorithm for solving steady-state and transient diffusion-recombination problems ⋮ A diffusion Monte Carlo method for charge density on a conducting surface at non-constant potentials ⋮ Random walk on distant mesh points Monte Carlo methods ⋮ The ``walk in hemispheres process and its applications to solving boundary value problems ⋮ Some evaluations for continuous Monte Carlo method by using Brownian hitting process ⋮ Simulation of a space-time bounded diffusion ⋮ A supplement to sowey's bibliography on random number generation and related topics ⋮ Combination of the meshless finite difference approach with the Monte Carlo random walk technique for solution of elliptic problems ⋮ A random walk on small spheres method for solving transient anisotropic diffusion problems ⋮ Effective numerical methods for simulating diffusion on a spherical surface in three dimensions ⋮ Monte Carlo algorithms: Performance analysis for some computer architectures ⋮ An integral equation for Root's barrier and the generation of Brownian increments
