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The walk on moving spheres: A new tool for simulating Brownian motion’s exit time from a domain

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  • Deaconu, M.
  • Herrmann, S.
  • Maire, S.

Abstract

In this paper we introduce a new method for the simulation of the exit time and exit position of a δ-dimensional Brownian motion from a domain. The main interest of our method is that it avoids splitting time schemes as well as inversion of complicated series. The method, called walk on moving spheres algorithm, was first introduced for hitting times of Bessel processes. In this study this method is adapted and developed for the first time for the Brownian motion hitting times. The idea is to use the connexion between the δ-dimensional Bessel process and the δ-dimensional Brownian motion thanks to an explicit Bessel hitting time distribution associated with a particular curved boundary. This allows to build a fast and accurate numerical scheme for approximating the hitting time. We introduce also an overview of existing methods for the simulation of the Brownian hitting time and perform numerical comparisons with existing methods.

Suggested Citation

  • Deaconu, M. & Herrmann, S. & Maire, S., 2017. "The walk on moving spheres: A new tool for simulating Brownian motion’s exit time from a domain," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 135(C), pages 28-38.
    • Handle: RePEc:eee:matcom:v:135:y:2017:i:c:p:28-38
    DOI: 10.1016/j.matcom.2015.07.004
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    References listed on IDEAS

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    1. Lejay, Antoine & Maire, Sylvain, 2007. "Computing the principal eigenvalue of the Laplace operator by a stochastic method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 73(6), pages 351-363.
    2. Madalina Deaconu & Antoine Lejay, 2006. "A Random Walk on Rectangles Algorithm," Methodology and Computing in Applied Probability, Springer, vol. 8(1), pages 135-151, March.
    3. Sabelfeld K.K. & Talay D., 1995. "Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres," Monte Carlo Methods and Applications, De Gruyter, vol. 1(1), pages 1-34, December.
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    Cited by:

    1. Yang, Xuxin & Rasila, Antti & Sottinen, Tommi, 2019. "Efficient simulation of the Schrödinger equation with a piecewise constant positive potential," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 166(C), pages 315-323.

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