An efficient algorithm to simulate a Brownian motion over irregular domains

DOI10.4208/CICP.240209.031209AMaRDI QIDQ5268747zbMATH OpenOpenAlexFDO

Authors Samih Zein, Antoine Lejay, Madalina Deaconu

Publication date 20 June 2017

Published in Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/cicp.240209.031209a

zbMATH Keywords

Brownian motionMonte Carlo methodsEuler schemepartial differential equationsrandom walk on rectangles

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(6)

• Algorithms for Brownian dynamics across discontinuities
• Optimal Choices of Correlation Operators in Brownian Simulation Methods
• Algorithm for generating a Brownian motion on a sphere
• The complexity of simulating Brownian motion
• An integral equation for Root's barrier and the generation of Brownian increments
• The rate of convergence of the walk on spheres algorithm

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