The walk on moving spheres: A new tool for simulating Brownian motion’s exit time from a domain
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DOI: 10.1016/j.matcom.2015.07.004
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References listed on IDEAS
- 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.
- 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.
- 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.
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Cited by:
- 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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Keywords
Walk on moving spheres method; Bessel processes; Brownian hitting time; Numerical algorithm;All these keywords.
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