Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian

DOI10.1093/IMANUM/DRX042zbMATH Open1477.65016arXiv1609.03127OpenAlexW2540157001MaRDI QIDQ4555982FDOQ4555982

Tony Shardlow, Ana Osojnik, A. E. Kyprianou

Publication date: 23 November 2018

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Abstract: We consider Monte Carlo methods for simulating solutions to the analogue of the Dirichlet boundary-value problem in which the Laplacian is replaced by the fractional Laplacian and boundary conditions are replaced by conditions on the exterior of the domain. Specifically, we consider the analogue of the so-called `walk-on-spheres` algorithm. In the diffusive setting, this entails sampling the path of Brownian motion as it uniformly exits a sequence of spheres maximally inscribed in the domain. As this algorithm would otherwise never end, it is truncated when the `walk-on-spheres` comes within epsilon > 0 of the boundary. In the setting of the fractional Laplacian, the role of Brownian motion is replaced by an isotropic alpha-stable process with alpha in (0, 2). A significant difference to the Brownian setting is that the stable processes will exit spheres by a jump rather than hitting their boundary. This difference ensures that disconnected domains may be considered and that, unlike the diffusive setting, the algorithm ends after an almost surely finite number of steps.

Full work available at URL: https://arxiv.org/abs/1609.03127

zbMATH Keywords

Monte Carlo methodsfractional Laplacianwalk-on-spheresLévy processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Fractional partial differential equations (35R11)

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