Unbiased `walk-on-spheres' Monte Carlo methods for the fractional Laplacian
From MaRDI portal
Publication:4555982
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.
Recommendations
- A Walk Outside Spheres for the fractional Laplacian: Fields and first eigenvalue
- Walk-on-spheres algorithm for solving third boundary value problem
- Random walk-on-spheres algorithms for solving mixed and Neumann boundary-value problems
- scientific article; zbMATH DE number 843491
- scientific article; zbMATH DE number 3846804
Cited in
(19)- A grid-overlay finite difference method for inhomogeneous Dirichlet problems of the fractional Laplacian on arbitrary bounded domains
- A modified walk‐on‐sphere method for high dimensional fractional Poisson equation
- Space-time coupled evolution equations and their stochastic solutions
- Numerical methods for fractional diffusion
- Solving the non-local Fokker-Planck equations by deep learning
- Characterization of image spaces of Riemann-Liouville fractional integral operators on Sobolev spaces \(W^{m,p} (\Omega)\)
- A new `walk on spheres' type method for fractional diffusion equation in high dimensions based on the Feynman-Kac formulas
- Multidomain spectral approach to rational-order fractional derivatives
- An asymptotic expansion for the fractional p-Laplacian and for gradient-dependent nonlocal operators
- A parallel iterative probabilistic method for mixed problems of Laplace equations with the Feynman-Kac formula of killed Brownian motions
- Efficient Monte Carlo Method for Integral Fractional Laplacian in Multiple Dimensions
- What is the fractional Laplacian? A comparative review with new results
- A Walk Outside Spheres for the fractional Laplacian: Fields and first eigenvalue
- Computation of Riesz \(\boldsymbol{\alpha }\)-Capacity \(\boldsymbol{\textrm{C}}_{\boldsymbol{\alpha}}\) of General Sets in \(\boldsymbol{\mathbb{R}}^{\boldsymbol{d}}\) Using Stable Random Walks
- Fast \(Q1\) finite element for two-dimensional integral fractional Laplacian
- Monte Carlo method for parabolic equations involving fractional Laplacian
- Numerical methods for nonlocal and fractional models
- Isogeometric collocation method for the fractional Laplacian in the 2D bounded domain
- A deep learning method for computing eigenvalues of the fractional Schrödinger operator
This page was built for publication: Unbiased `walk-on-spheres' Monte Carlo methods for the fractional Laplacian
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4555982)
