An efficient algorithm to simulate a Brownian motion over irregular domains

DOI10.4208/CICP.240209.031209AzbMATH Open1364.60099OpenAlexW1998408255MaRDI QIDQ5268747FDOQ5268747

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

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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)

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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