Walk-on-spheres algorithm for solving third boundary value problem

DOI10.1016/J.AML.2016.09.008MaRDI QIDQ338979zbMATH OpenOpenAlexFDO

Authors Nikolai A. Simonov

Publication date 7 November 2016

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.aml.2016.09.008

zbMATH Keywords

algorithmLaplace equationMarkov chainMonte Carlorandom walkthird boundary value problem

Mathematics Subject Classification ID

Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation (35J05) Sums of independent random variables; random walks (60G50) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75)

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Cites work

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Cited in

(15)

• On stochastic algorithms for solving boundary-value problems for the Laplace operator
• Monte Carlo algorithm for the Robin boundary conditions in application to solving a model diffusion-recombination problem
• Off-centered ``walk-on-spheres (WOS) algorithm
• Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence
• Random walk on spheres algorithm for solving transient drift-diffusion-reaction problems
• A global random walk on spheres algorithm for transient heat equation and some extensions
• A path integral Monte Carlo (PIMC) method based on Feynman-Kac formula for electrical impedance tomography
• Random walk-on-spheres algorithms for solving mixed and Neumann boundary-value problems
• Monte Carlo algorithms for problems with partially reflecting boundaries
• scientific article; zbMATH DE number 3846804 (Why is no real title available?)
• scientific article; zbMATH DE number 726935 (Why is no real title available?)
• Unbiased `walk-on-spheres' Monte Carlo methods for the fractional Laplacian
• scientific article; zbMATH DE number 749511 (Why is no real title available?)
• A global random walk on grid algorithm for second order elliptic equations
• A global random walk on grid algorithm for second order elliptic equations

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