scientific article; zbMATH DE number 2000347

MaRDI QIDQ4433868zbMATH OpenFDO

Authors James A. Given, Michael Mascagni, Chi-Ok Hwang

Publication date 3 November 2003

Full work available at URL http://link.springer.de/link/service/series/0558/bibs/2179/21790046.htm

zbMATH Keywords

angle-averaging methodsdiffusion Monte Carlo methodsGreen's function first-passage methodLaplace equationslast-passage diffusion method

Mathematics Subject Classification ID

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

Recommendations

• First- and last-passage algorithms in diffusion Monte Carlo
• The simulation-tabulation method for classical diffusion Monte Carlo
• Exact simulation of the first-passage time of diffusions
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• An improved technique for the simulation of first passage times for diffusion processes

Cited in

(4)

• \(\varepsilon\)-shell error analysis for ``walk on spheres algorithms
• First- and last-passage algorithms in diffusion Monte Carlo
• The simulation-tabulation method for classical diffusion Monte Carlo
• The random walk on the boundary method for calculating capacitance

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