Walk-on-spheres algorithm for solving third boundary value problem

DOI10.1016/J.AML.2016.09.008MaRDI QIDQ338979zbMATH OpenOpenAlexFDO

Authors Nikolai A. Simonov

Publication date 7 November 2016

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2016.09.008

zbMATH Keywords

Markov chainrandom walkMonte CarloalgorithmLaplace equationthird boundary value problem

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Sums of independent random variables; random walks (60G50) Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05)

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Cites work

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Cited in

(15)

• scientific article; zbMATH DE number 3846804 (Why is no real title available?)
• Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems
• A global random walk on spheres algorithm for transient heat equation and some extensions
• Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence
• Unbiased `walk-on-spheres' Monte Carlo methods for the fractional Laplacian
• On stochastic algorithms for solving boundary-value problems for the Laplace operator
• Random walk-on-spheres algorithms for solving mixed and Neumann boundary-value problems
• scientific article; zbMATH DE number 726935 (Why is no real title available?)
• Off-centered ``walk-on-spheres (WOS) algorithm
• 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
• scientific article; zbMATH DE number 749511 (Why is no real title available?)
• A global random walk on grid algorithm for second order elliptic equations
• A global random walk on grid algorithm for second order elliptic equations
• Monte Carlo algorithms for problems with partially reflecting boundaries

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