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Walk-on-spheres method

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According to intuition, the process will converge to the first exit point of the domain. However, this algorithm takes almost surely an infinite number of steps to end. For computational implementation, the process is usually stopped when it gets sufficiently close to the border, and returns the
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In some cases the distance to the border might be difficult to compute, and it is then preferable to replace the radius of the sphere by a lower bound of this distance. One must then ensure that the radius of the spheres stays large enough so that the process reaches the border.
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First Passage method: one can change the geometry of the "spheres" when close enough to the border, so that the probability of reaching the border in one step becomes positive. This requires the knowledge of Green's functions for the specific domains. (see also
2017:{\displaystyle {\begin{cases}\partial _{t}u(x,t)+{\frac {1}{2}}\Delta _{x}u(x,t)=0&{\mbox{if }}x\in \Omega {\mbox{ and }}t<T\\u(x,T)=h(x,T)&{\mbox{if }}x\in {\bar {\Omega }}\\u(x,t)=h(x,t)&{\mbox{if }}x\in \Gamma .\end{cases}}} 2321: 625: 2127: 1661:, and one only needs a small set of values. Indeed, the computational cost increases linearly with the dimension, whereas the cost of grid dependant methods increase exponentially with the dimension. 1636: 220: 1203: 1145: 967: 1537: 1267: 1031: 459: 734: 691: 868: 121: 1717: 1581: 1504: 838: 786: 766: 387: 1061: 1669:
This method has been largely studied, generalized and improved. For example, it is now extensively used for the computation of physical properties of materials (such as
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The WoS method can be modified to solve more general problems. In particular, the method has been generalized to solve Dirichlet problems for equations of the form
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The WoS method has been generalized to estimate the solution to elliptic partial differential equations everywhere in a domain, rather than at a single point.
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The WoS method has also been generalized in order to compute hitting times for processes other than Brownian motions. For example, hitting times of
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The link was first established by Kakutani for the 2-dimensional Brownian motion, it can now be seen as a trivial case of the Feynman−Kac formula.
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Sawhney, Rohan; Seyb, Dario; Jarosz, Wojciech; Crane, Keenan (July 2022). "Grid-Free Monte Carlo for PDEs with Spatially Varying Coefficients".
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Finally, WoS can be used to solve problems where coefficients vary continuously in space, via connections with the volume rendering equation.
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Hwang, Chi-Ok; Mascagni, Michael; Given, James A. (March 2003). "A Feynman–Kac path-integral implementation for Poisson's equation using an
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can be computed as the sum of the exit-times from the spheres. The process also has to be stopped when it has not exited the domain at time
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The WoS theoretically provides exact (or unbiased) simulations of the paths of the Brownian motion. However, as it is formulated here, the
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The WoS method provides an efficient way of sampling the first exit point of a Brownian motion from the domain, by remarking that for any
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To compute a solution using this formula, we only have to simulate the first exit point of independent Brownian paths since with the
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Deaconu, Madalina; Herrmann, Samuel (December 2013). "Hitting time for Bessel processes—walk on moving spheres algorithm (WoMS)".
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To use the WoS through this formula, one needs to sample the exit-time from each sphere drawn, which is an independent variable
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As it is commonly the case for Monte-Carlo methods, this algorithm performs particularly well when the dimension is higher than
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can be computed via an algorithm called "Walk on moving spheres". This problem has applications in mathematical finance.
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The WoS can be adapted to solve the Poisson and Poisson–Boltzmann equation with flux conditions on the boundary.
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first-passage (GFFP) method is usually preferred, as it is both faster and more accurate than the classical WoS.
1210: 2593:"A first-passage algorithm for the hydrodynamic friction and diffusion-limited reaction rate of macromolecules" 1746:
Again, within a regular enough border, it possible to use the WoS method to solve the following problem :
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More efficient ways of solving the linearized Poisson–Boltzmann equation have also been developed, relying on
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Booth, Thomas E (February 1981). "Exact Monte Carlo solution of elliptic partial differential equations".
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by Peter Mörters and Yuval Peres. See Chapter 3.3 on harmonic measure, Green's functions and exit-points.
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Mascagni, Michael; Hwang, Chi-Ok (June 2003). "Ï”-Shell error analysis for "Walk On Spheres" algorithms".
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is uniformly distributed on its surface. By repeating this step inductively, the WoS provides a sequence
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Simonov, Nikolai A. (2007). "Random Walks for Solving Boundary-Value Problems with Flux Conditions".
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Elepov, B.S.; Mikhailov, G.A. (January 1969). "Solution of the dirichlet problem for the equation Δ
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As it is a Monte-Carlo method, the error of the estimator can be decomposed into the sum of a
211: 2316:{\displaystyle \mathbb {E} (\exp(-s\tau _{0}))={\frac {R{\sqrt {2s}}}{\sinh(R{\sqrt {2s}})}}} 2136: 1450: 1384: 1305: 1272: 803: 190: 150: 126: 73: 2958: 2911: 2870: 2833: 2727: 2686: 2651: 2612: 2573: 2539: 2468: 2452: 2378: 1720: 1545: 870:. Using the same notations as above, the Walk-on-spheres algorithm is described as follows: 44: 2329: 1735: 1357: 1327: 1063:
a vector uniformly distributed over the unit sphere, independently from the preceding ones.
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projection of the process on the border. This procedure is sometimes called introducing an
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out of the sphere has a uniform distribution over its surface. Thus, it starts with
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It can be shown that the number of steps taken for the WoS process to reach the
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Méthodes de Monte-Carlo et processus stochastiques du linéaire au non-linéaire
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Illustration of a run of the Walk-on-spheres algorithm on an arbitrary domain
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It relies on probabilistic interpretations of PDEs, and simulates paths of
3019: 2811:"Regional Monte Carlo solution of elliptic partial differential equations" 2900:. Lecture Notes in Computer Science. Vol. 4310. pp. 181–188. 2482: 2874: 2616: 35:, used mainly in order to approximate the solutions of some specific 2592: 2953: 2865: 1442: 795: 2457:"Some continuous Monte-Carlo Methods for the Dirichlet Problem" 2591:
Given, James A.; Hubbard, Joseph B.; Douglas, Jack F. (1997).
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The paper in which Marvin Edgar Muller introduced the method.
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Some continuous Monte-Carlo methods for the Dirichlet problem
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The Walk-on-spheres method is used until the process gets
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and contained inside the domain. The first point of exit
2528:"Two-dimensional Brownian motion and harmonic functions" 2644:
USSR Computational Mathematics and Mathematical Physics
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Handbook of Brownian motion : facts and formulae
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Palaiseau: Editions de l'Ecole polytechnique. 2402:Stochastic processes and boundary value problems 2133:where the expectation is taken conditionally on 2195:with Laplace transform (for a sphere of radius 480:, the expected value is taken conditionally on 43:(PDEs). The WoS method was first introduced by 2990:Monte Carlo methods in boundary value problems 2503:Monte Carlo methods in boundary value problems 343:It can be easily shown that when the solution 2027:of which the solution can be represented as: 1381:is an estimator of the first exit point from 8: 2794:: CS1 maint: multiple names: authors list ( 1532:{\displaystyle {\mathcal {O}}(\varepsilon )} 2770:Salminen, Andrei N. Borodin; Paavo (2002). 2496: 2494: 2492: 1262:{\displaystyle x_{f}:=p_{\Gamma }(x^{(n)})} 2952: 2905: 2864: 2721: 2543: 2472: 2351: 2331: 2297: 2273: 2267: 2252: 2226: 2225: 2223: 2200: 2179: 2173: 2144: 2138: 2089: 2064: 2060: 2059: 2035: 1988: 1932: 1931: 1918: 1857: 1841: 1809: 1795: 1768: 1756: 1754: 1686: 1646: 1620: 1600: 1591: 1590: 1588: 1568: 1514: 1513: 1511: 1491: 1452: 1406: 1386: 1365: 1359: 1335: 1329: 1307: 1280: 1274: 1244: 1231: 1218: 1212: 1168: 1156: 1131: 1121: 1102: 1077: 1071: 1047: 1041: 1002: 983: 977: 932: 920: 885: 879: 849: 825: 805: 773: 753: 720: 714: 713: 710: 677: 671: 670: 667: 608: 603: 587: 576: 562: 547: 528: 524: 523: 520: 439: 420: 416: 415: 397: 368: 348: 304: 255: 224: 222: 192: 172: 152: 128: 107: 103: 102: 99: 75: 2447: 2445: 2443: 1026:{\displaystyle r_{n}=d(x^{(n)},\Gamma )} 2710:Mathematics and Computers in Simulation 2566:Mathematics and Computers in Simulation 2439: 2419: 2326:The total time of exit from the domain 2787: 1729:elliptic partial differential equation 2461:The Annals of Mathematical Statistics 1425:Comments and practical considerations 744:of positions of the Brownian motion. 454:{\displaystyle u(x)=\mathbb {E} _{x}} 123:with a sufficiently regular boundary 7: 58:(or for some more general variants, 2774:(2. ed.). Basel : BirkhĂ€user. 2642:by a model of "walks on spheres"". 2532:Proceedings of the Imperial Academy 1551:When it is possible to use it, the 2898:Numerical Methods and Applications 2001: 1934: 1854: 1806: 1765: 1738:representations of the solutions. 1688: 1401:of a Wiener process starting from 1388: 1309: 1232: 1183: 1017: 947: 807: 729:{\displaystyle {\mathcal {S}}_{0}} 686:{\displaystyle {\mathcal {S}}_{0}} 376: 317: 268: 232: 194: 154: 130: 77: 14: 2853:The Annals of Applied Probability 863:{\displaystyle \varepsilon >0} 3041:Numerical differential equations 2818:Journal of Computational Physics 2708:-conditioned Green's function". 2671:Journal of Computational Physics 116:{\displaystyle \mathbb {R} ^{d}} 2597:The Journal of Chemical Physics 1269:, the orthogonal projection of 662:, and draws the largest sphere 3051:Partial differential equations 2307: 2291: 2261: 2258: 2239: 2230: 2116: 2113: 2082: 2076: 2052: 2040: 1983: 1971: 1962: 1950: 1937: 1913: 1901: 1892: 1880: 1830: 1818: 1789: 1777: 1625: 1621: 1617: 1611: 1601: 1597: 1526: 1520: 1287: 1281: 1256: 1251: 1245: 1237: 1186: 1175: 1169: 1161: 1109: 1103: 1090: 1078: 1020: 1009: 1003: 995: 950: 939: 933: 925: 892: 886: 614: 596: 556: 553: 540: 534: 501:is the first-exit time out of 448: 445: 432: 426: 408: 402: 299: 293: 284: 278: 244: 238: 41:partial differential equations 1: 2809:Booth, Thomas (August 1982). 2732:10.1016/S0378-4754(02)00224-0 2578:10.1016/S0378-4754(03)00038-7 1712:{\displaystyle \Delta u=cu+f} 644:, the first point of exit of 27:is a numerical probabilistic 2992:. Berlin : Springer-Verlag. 2941:ACM Transactions on Graphics 2916:10.1007/978-3-540-70942-8_21 2838:10.1016/0021-9991(82)90079-1 2691:10.1016/0021-9991(81)90159-5 2656:10.1016/0041-5553(69)90070-6 2505:. Berlin : Springer-Verlag. 1731:with constant coefficients. 1576:{\displaystyle \varepsilon } 1499:{\displaystyle \varepsilon } 833:{\displaystyle \varepsilon } 781:{\displaystyle \varepsilon } 761:{\displaystyle \varepsilon } 382:{\displaystyle x\in \Omega } 25:walk-on-spheres method (WoS) 2988:Sabelfeld, Karl K. (1991). 2501:Sabelfeld, Karl K. (1991). 1439:Bias in the method and GFFP 1056:{\displaystyle \gamma _{n}} 3067: 2526:Kakutani, Shizuo (1944). 2188:{\displaystyle \tau _{0}} 906:{\displaystyle x^{(0)}=x} 792:Formulation of the method 3036:Variants of random walks 2745:Gobet, Emmanuel (2013). 3046:Boundary value problems 2963:10.1145/3528223.3530134 2474:10.1214/aoms/1177728169 2159:{\displaystyle X_{t}=x} 1460:{\displaystyle \delta } 1394:{\displaystyle \Omega } 1315:{\displaystyle \Gamma } 1295:{\displaystyle x^{(n)}} 813:{\displaystyle \Omega } 200:{\displaystyle \Omega } 160:{\displaystyle \Gamma } 136:{\displaystyle \Gamma } 83:{\displaystyle \Omega } 2545:10.3792/pia/1195572706 2360: 2340: 2317: 2209: 2189: 2160: 2123: 2018: 1727:equations) or for any 1713: 1655: 1632: 1577: 1533: 1500: 1468: 1461: 1415: 1395: 1375: 1345: 1316: 1296: 1263: 1199: 1141: 1057: 1027: 963: 907: 864: 841: 834: 814: 782: 762: 730: 687: 621: 592: 455: 383: 357: 334: 201: 181: 161: 137: 117: 84: 37:boundary value problem 16:Mathematical algorithm 2407:Euler–Maruyama method 2361: 2341: 2339:{\displaystyle \tau } 2318: 2210: 2190: 2161: 2124: 2019: 1714: 1656: 1633: 1578: 1534: 1501: 1462: 1446: 1430:Radius of the spheres 1416: 1396: 1376: 1374:{\displaystyle x_{f}} 1346: 1344:{\displaystyle x_{f}} 1317: 1297: 1264: 1200: 1142: 1058: 1028: 964: 908: 865: 835: 815: 799: 783: 763: 731: 688: 622: 572: 456: 384: 358: 335: 202: 182: 162: 138: 118: 85: 2350: 2330: 2222: 2199: 2172: 2137: 2034: 1753: 1685: 1665:Variants, extensions 1645: 1587: 1567: 1510: 1490: 1451: 1405: 1385: 1358: 1328: 1306: 1273: 1211: 1155: 1070: 1040: 976: 919: 878: 848: 824: 804: 772: 752: 709: 666: 519: 510:law of large numbers 396: 367: 347: 221: 191: 171: 151: 127: 98: 74: 66:Informal description 2830:1982JCoPh..47..281B 2683:1981JCoPh..39..396B 2609:1997JChPh.106.3761G 2397:Feynman–Kac formula 1719:(which include the 1583:-shell is of order 638:-sphere centred on 613: 60:diffusion processes 2356: 2336: 2313: 2205: 2185: 2156: 2119: 2014: 2009: 1993: 1923: 1862: 1846: 1709: 1677:Elliptic equations 1651: 1628: 1573: 1529: 1496: 1481:variance reduction 1469: 1457: 1411: 1391: 1371: 1341: 1312: 1292: 1259: 1195: 1137: 1053: 1023: 959: 903: 874:Initialize : 860: 842: 830: 810: 778: 758: 726: 683: 617: 599: 451: 379: 353: 330: 325: 309: 260: 197: 187:be a point inside 177: 157: 133: 113: 80: 49:Laplace's equation 33:Monte-Carlo method 2925:978-3-540-70940-4 2875:10.1214/12-AAP900 2781:978-3-7643-6705-3 2756:978-2-7302-1616-6 2453:Muller, Mervin E. 2359:{\displaystyle T} 2311: 2305: 2281: 2208:{\displaystyle R} 1992: 1940: 1922: 1861: 1845: 1803: 1725:Poisson−Boltzmann 1654:{\displaystyle 3} 1541:Green's Functions 1477:statistical error 1414:{\displaystyle x} 570: 356:{\displaystyle u} 308: 259: 212:Dirichlet problem 180:{\displaystyle x} 147:be a function on 47:in 1956 to solve 3058: 3003: 2975: 2974: 2956: 2936: 2930: 2929: 2909: 2893: 2887: 2886: 2868: 2859:(6): 2259–2289. 2848: 2842: 2841: 2815: 2806: 2800: 2799: 2793: 2785: 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114: 112: 111: 106: 89: 87: 86: 81: 45:Mervin E. Muller 3066: 3065: 3061: 3060: 3059: 3057: 3056: 3055: 3026: 3025: 3020:Brownian Motion 3010: 3000: 2987: 2984: 2982:Further reading 2979: 2978: 2938: 2937: 2933: 2926: 2895: 2894: 2890: 2850: 2849: 2845: 2813: 2808: 2807: 2803: 2786: 2782: 2769: 2768: 2764: 2757: 2744: 2743: 2739: 2723:10.1.1.123.3156 2703: 2702: 2698: 2668: 2667: 2663: 2629: 2628: 2624: 2590: 2589: 2585: 2563: 2562: 2553: 2538:(10): 706–714. 2525: 2524: 2520: 2513: 2500: 2499: 2490: 2451: 2450: 2441: 2436: 2431: 2430: 2425: 2421: 2416: 2393: 2372: 2348: 2347: 2328: 2327: 2284: 2269: 2248: 2220: 2219: 2197: 2196: 2175: 2170: 2169: 2140: 2135: 2134: 2085: 2058: 2032: 2031: 2008: 2007: 1986: 1944: 1943: 1916: 1874: 1873: 1860: and  1839: 1805: 1764: 1757: 1751: 1750: 1744: 1742:Time dependency 1723:and linearized 1683: 1682: 1679: 1667: 1643: 1642: 1585: 1584: 1565: 1564: 1561: 1508: 1507: 1488: 1487: 1449: 1448: 1441: 1432: 1427: 1403: 1402: 1383: 1382: 1361: 1356: 1355: 1331: 1326: 1325: 1304: 1303: 1276: 1271: 1270: 1240: 1227: 1214: 1209: 1208: 1164: 1153: 1152: 1127: 1117: 1098: 1073: 1068: 1067: 1043: 1038: 1037: 998: 979: 974: 973: 928: 917: 916: 881: 876: 875: 846: 845: 822: 821: 802: 801: 794: 770: 769: 750: 749: 737: 712: 707: 706: 700: 694: 669: 664: 663: 657: 651: 645: 639: 636: âˆ’ 1) 631: 543: 522: 517: 516: 502: 499: 496: 488: 481: 471: 465: 435: 414: 394: 393: 365: 364: 345: 344: 324: 323: 302: 272: 271: 253: 225: 219: 218: 189: 188: 169: 168: 149: 148: 125: 124: 101: 96: 95: 72: 71: 68: 56:Brownian motion 17: 12: 11: 5: 3064: 3062: 3054: 3053: 3048: 3043: 3038: 3028: 3027: 3024: 3023: 3017: 3009: 3008:External links 3006: 3005: 3004: 2998: 2983: 2980: 2977: 2976: 2931: 2924: 2907:10.1.1.63.3780 2888: 2843: 2824:(2): 281–290. 2801: 2780: 2762: 2755: 2737: 2696: 2677:(2): 396–404. 2661: 2650:(3): 194–204. 2638: = âˆ’ 2622: 2583: 2551: 2518: 2512:978-3540530015 2511: 2488: 2467:(3): 569–589. 2438: 2437: 2435: 2432: 2429: 2428: 2418: 2417: 2415: 2412: 2411: 2410: 2404: 2399: 2392: 2389: 2371: 2368: 2355: 2335: 2324: 2323: 2309: 2304: 2301: 2296: 2293: 2290: 2287: 2280: 2277: 2272: 2266: 2263: 2260: 2255: 2251: 2247: 2244: 2241: 2238: 2235: 2232: 2228: 2204: 2182: 2178: 2155: 2152: 2147: 2143: 2131: 2130: 2118: 2115: 2112: 2109: 2106: 2103: 2098: 2095: 2092: 2088: 2084: 2081: 2078: 2073: 2070: 2067: 2062: 2057: 2054: 2051: 2048: 2045: 2042: 2039: 2025: 2024: 2011: 2006: 2003: 2000: 1997: 1987: 1985: 1982: 1979: 1976: 1973: 1970: 1967: 1964: 1961: 1958: 1955: 1952: 1949: 1946: 1945: 1939: 1936: 1930: 1927: 1917: 1915: 1912: 1909: 1906: 1903: 1900: 1897: 1894: 1891: 1888: 1885: 1882: 1879: 1876: 1875: 1872: 1869: 1866: 1856: 1853: 1850: 1840: 1838: 1835: 1832: 1829: 1826: 1823: 1820: 1817: 1812: 1808: 1802: 1799: 1794: 1791: 1788: 1785: 1782: 1779: 1776: 1771: 1767: 1763: 1762: 1760: 1743: 1740: 1708: 1705: 1702: 1699: 1696: 1693: 1690: 1678: 1675: 1666: 1663: 1650: 1627: 1623: 1619: 1616: 1613: 1610: 1607: 1603: 1599: 1594: 1572: 1560: 1557: 1528: 1525: 1522: 1517: 1495: 1456: 1440: 1437: 1431: 1428: 1426: 1423: 1410: 1390: 1368: 1364: 1352: 1351: 1338: 1334: 1322: 1311: 1289: 1286: 1283: 1279: 1258: 1253: 1250: 1247: 1243: 1239: 1234: 1230: 1226: 1221: 1217: 1206: 1194: 1191: 1188: 1185: 1182: 1177: 1174: 1171: 1167: 1163: 1160: 1149: 1148: 1147: 1134: 1130: 1124: 1120: 1116: 1111: 1108: 1105: 1101: 1097: 1092: 1089: 1086: 1083: 1080: 1076: 1064: 1050: 1046: 1034: 1022: 1019: 1016: 1011: 1008: 1005: 1001: 997: 994: 991: 986: 982: 958: 955: 952: 949: 946: 941: 938: 935: 931: 927: 924: 913: 902: 899: 894: 891: 888: 884: 859: 856: 853: 829: 809: 793: 790: 777: 757: 723: 717: 680: 674: 628: 627: 616: 611: 606: 602: 598: 595: 590: 585: 582: 579: 575: 569: 566: 561: 558: 555: 550: 546: 542: 539: 536: 531: 526: 497: 486: 478:Wiener process 462: 461: 450: 447: 442: 438: 434: 431: 428: 423: 418: 413: 410: 407: 404: 401: 378: 375: 372: 352: 341: 340: 327: 322: 319: 316: 313: 303: 301: 298: 295: 292: 289: 286: 283: 280: 277: 274: 273: 270: 267: 264: 254: 252: 249: 246: 243: 240: 237: 234: 231: 230: 228: 196: 176: 156: 132: 110: 105: 79: 67: 64: 15: 13: 10: 9: 6: 4: 3: 2: 3063: 3052: 3049: 3047: 3044: 3042: 3039: 3037: 3034: 3033: 3031: 3021: 3018: 3015: 3012: 3011: 3007: 3001: 2999:9783540530015 2995: 2991: 2986: 2985: 2981: 2972: 2968: 2964: 2960: 2955: 2950: 2946: 2942: 2935: 2932: 2927: 2921: 2917: 2913: 2908: 2903: 2899: 2892: 2889: 2884: 2880: 2876: 2872: 2867: 2862: 2858: 2854: 2847: 2844: 2839: 2835: 2831: 2827: 2823: 2819: 2812: 2805: 2802: 2797: 2791: 2783: 2777: 2773: 2766: 2763: 2758: 2752: 2748: 2741: 2738: 2733: 2729: 2724: 2719: 2715: 2711: 2707: 2700: 2697: 2692: 2688: 2684: 2680: 2676: 2672: 2665: 2662: 2657: 2653: 2649: 2645: 2641: 2637: 2634: âˆ’  2633: 2626: 2623: 2618: 2614: 2610: 2606: 2602: 2598: 2594: 2587: 2584: 2579: 2575: 2572:(2): 93–104. 2571: 2567: 2560: 2558: 2556: 2552: 2546: 2541: 2537: 2533: 2529: 2522: 2519: 2514: 2508: 2504: 2497: 2495: 2493: 2489: 2484: 2480: 2475: 2470: 2466: 2462: 2458: 2454: 2448: 2446: 2444: 2440: 2433: 2423: 2420: 2413: 2408: 2405: 2403: 2400: 2398: 2395: 2394: 2390: 2388: 2385: 2382: 2380: 2375: 2369: 2367: 2353: 2333: 2302: 2299: 2294: 2288: 2285: 2278: 2275: 2270: 2264: 2253: 2249: 2245: 2242: 2236: 2233: 2218: 2217: 2216: 2202: 2180: 2176: 2166: 2153: 2150: 2145: 2141: 2110: 2107: 2104: 2101: 2096: 2093: 2090: 2086: 2079: 2071: 2068: 2065: 2055: 2049: 2046: 2043: 2037: 2030: 2029: 2028: 2004: 1998: 1995: 1980: 1977: 1974: 1968: 1965: 1959: 1956: 1953: 1947: 1928: 1925: 1910: 1907: 1904: 1898: 1895: 1889: 1886: 1883: 1877: 1870: 1867: 1864: 1851: 1848: 1836: 1833: 1827: 1824: 1821: 1815: 1810: 1800: 1797: 1792: 1786: 1783: 1780: 1774: 1769: 1758: 1749: 1748: 1747: 1741: 1739: 1737: 1732: 1730: 1726: 1722: 1706: 1703: 1700: 1697: 1694: 1691: 1676: 1674: 1672: 1664: 1662: 1648: 1639: 1614: 1608: 1605: 1570: 1558: 1556: 1554: 1549: 1547: 1542: 1523: 1493: 1484: 1482: 1478: 1474: 1454: 1445: 1438: 1436: 1429: 1424: 1422: 1408: 1366: 1362: 1336: 1332: 1323: 1284: 1277: 1248: 1241: 1228: 1224: 1219: 1215: 1207: 1192: 1189: 1180: 1172: 1165: 1158: 1150: 1132: 1128: 1122: 1118: 1114: 1106: 1099: 1095: 1087: 1084: 1081: 1074: 1065: 1048: 1044: 1035: 1014: 1006: 999: 992: 989: 984: 980: 971: 970: 956: 953: 944: 936: 929: 922: 914: 900: 897: 889: 882: 873: 872: 871: 857: 854: 851: 827: 798: 791: 789: 775: 755: 745: 741: 721: 703: 697: 678: 660: 654: 648: 642: 635: 609: 604: 600: 593: 588: 583: 580: 577: 573: 567: 564: 559: 548: 544: 537: 529: 515: 514: 513: 511: 506: 492: 485: 479: 476:-dimensional 474: 468: 440: 436: 429: 421: 411: 405: 399: 392: 391: 390: 373: 370: 350: 320: 314: 311: 296: 290: 287: 281: 275: 265: 262: 250: 247: 241: 235: 226: 217: 216: 215: 213: 210:Consider the 208: 174: 146: 108: 93: 90:be a bounded 65: 63: 61: 57: 52: 50: 46: 42: 38: 34: 30: 26: 22: 2989: 2944: 2940: 2934: 2897: 2891: 2856: 2852: 2846: 2821: 2817: 2804: 2771: 2765: 2746: 2740: 2713: 2709: 2705: 2699: 2674: 2670: 2664: 2647: 2643: 2639: 2635: 2631: 2625: 2600: 2596: 2586: 2569: 2565: 2535: 2531: 2521: 2502: 2464: 2460: 2455:(Sep 1956). 2422: 2386: 2383: 2376: 2373: 2325: 2167: 2132: 2026: 1745: 1733: 1680: 1668: 1640: 1562: 1550: 1485: 1470: 1433: 1353: 843: 746: 739: 701: 695: 693:centered on 658: 652: 646: 640: 633: 629: 507: 490: 483: 472: 466: 463: 363:exists, for 342: 209: 144: 69: 53: 24: 18: 2947:(4): 1–17. 2603:(9): 3761. 1736:Feynman−Kac 1671:capacitance 1354:The result 768:-shell, or 21:mathematics 3030:Categories 2954:2201.13240 2434:References 1559:Complexity 167:, and let 2971:246430740 2902:CiteSeerX 2866:1111.3736 2790:cite book 2718:CiteSeerX 2334:τ 2289:⁡ 2250:τ 2243:− 2237:⁡ 2177:τ 2111:τ 2108:∧ 2097:τ 2094:∧ 2002:Γ 1999:∈ 1938:¯ 1935:Ω 1929:∈ 1855:Ω 1852:∈ 1807:Δ 1766:∂ 1689:Δ 1615:ε 1609:⁡ 1571:ε 1524:ε 1494:ε 1483:methods. 1455:δ 1389:Ω 1310:Γ 1233:Γ 1193:ε 1190:≤ 1184:Γ 1129:γ 1045:γ 1018:Γ 957:ε 948:Γ 852:ε 828:ε 808:Ω 776:ε 756:ε 656:equal to 605:τ 574:∑ 560:∼ 549:τ 441:τ 377:Ω 374:∈ 318:Γ 315:∈ 269:Ω 266:∈ 233:Δ 195:Ω 155:Γ 131:Γ 78:Ω 29:algorithm 2883:25036031 2391:See also 1991:if  1921:if  1844:if  1475:, and a 820:with an 788:-layer. 307:if  258:if  2826:Bibcode 2679:Bibcode 2605:Bibcode 2483:2237369 1721:Poisson 1324:Return 1036:Sample 844:Choose 2996:  2969:  2922:  2904:  2881:  2778:  2753:  2720:  2509:  2481:  915:While 840:-shell 503:Ω 498:τ 495:, and 464:where 143:, let 92:domain 23:, the 2967:S2CID 2949:arXiv 2879:S2CID 2861:arXiv 2814:(PDF) 2479:JSTOR 2414:Notes 1151:When 705:from 470:is a 31:, or 2994:ISBN 2920:ISBN 2796:link 2776:ISBN 2751:ISBN 2507:ISBN 2286:sinh 1868:< 1473:bias 1066:Set 972:Set 954:> 855:> 70:Let 39:for 2959:doi 2912:doi 2871:doi 2834:doi 2728:doi 2687:doi 2652:doi 2613:doi 2601:106 2574:doi 2540:doi 2469:doi 2234:exp 2215:): 1606:log 1302:on 94:in 19:In 3032:: 2965:. 2957:. 2945:41 2943:. 2918:. 2910:. 2877:. 2869:. 2857:23 2855:. 2832:. 2822:47 2820:. 2816:. 2792:}} 2788:{{ 2726:. 2714:62 2712:. 2685:. 2675:39 2673:. 2646:. 2636:cu 2611:. 2599:. 2595:. 2570:63 2568:. 2554:^ 2536:20 2534:. 2530:. 2491:^ 2477:. 2465:27 2463:. 2459:. 2442:^ 2366:. 1548:) 1225::= 1096::= 969:: 512:: 505:. 489:= 389:: 214:: 207:. 3002:. 2973:. 2961:: 2951:: 2928:. 2914:: 2885:. 2873:: 2863:: 2840:. 2836:: 2828:: 2798:) 2784:. 2759:. 2734:. 2730:: 2706:h 2693:. 2689:: 2681:: 2658:. 2654:: 2648:9 2640:q 2632:u 2619:. 2615:: 2607:: 2580:. 2576:: 2548:. 2542:: 2515:. 2485:. 2471:: 2354:T 2308:) 2303:s 2300:2 2295:R 2292:( 2279:s 2276:2 2271:R 2265:= 2262:) 2259:) 2254:0 2246:s 2240:( 2231:( 2227:E 2203:R 2181:0 2154:x 2151:= 2146:t 2142:X 2129:, 2117:) 2114:) 2105:T 2102:, 2091:T 2087:X 2083:( 2080:h 2077:( 2072:x 2069:, 2066:t 2061:E 2056:= 2053:) 2050:t 2047:, 2044:x 2041:( 2038:u 2005:. 1996:x 1984:) 1981:t 1978:, 1975:x 1972:( 1969:h 1966:= 1963:) 1960:t 1957:, 1954:x 1951:( 1948:u 1926:x 1914:) 1911:T 1908:, 1905:x 1902:( 1899:h 1896:= 1893:) 1890:T 1887:, 1884:x 1881:( 1878:u 1871:T 1865:t 1849:x 1837:0 1834:= 1831:) 1828:t 1825:, 1822:x 1819:( 1816:u 1811:x 1801:2 1798:1 1793:+ 1790:) 1787:t 1784:, 1781:x 1778:( 1775:u 1770:t 1759:{ 1707:f 1704:+ 1701:u 1698:c 1695:= 1692:u 1649:3 1626:) 1622:| 1618:) 1612:( 1602:| 1598:( 1593:O 1527:) 1521:( 1516:O 1409:x 1367:f 1363:x 1337:f 1333:x 1288:) 1285:n 1282:( 1278:x 1257:) 1252:) 1249:n 1246:( 1242:x 1238:( 1229:p 1220:f 1216:x 1205:: 1187:) 1181:, 1176:) 1173:n 1170:( 1166:x 1162:( 1159:d 1133:n 1123:n 1119:r 1115:+ 1110:) 1107:n 1104:( 1100:x 1091:) 1088:1 1085:+ 1082:n 1079:( 1075:x 1049:n 1033:. 1021:) 1015:, 1010:) 1007:n 1004:( 1000:x 996:( 993:d 990:= 985:n 981:r 951:) 945:, 940:) 937:n 934:( 930:x 926:( 923:d 901:x 898:= 893:) 890:0 887:( 883:x 858:0 742:) 740:x 738:( 722:0 716:S 702:x 696:x 679:0 673:S 659:x 653:x 647:W 641:x 634:d 632:( 615:) 610:i 601:W 597:( 594:h 589:n 584:1 581:= 578:i 568:n 565:1 557:] 554:) 545:W 541:( 538:h 535:[ 530:x 525:E 493:} 491:x 487:0 484:W 482:{ 473:d 467:W 449:] 446:) 437:W 433:( 430:h 427:[ 422:x 417:E 412:= 409:) 406:x 403:( 400:u 371:x 351:u 321:. 312:x 300:) 297:x 294:( 291:h 288:= 285:) 282:x 279:( 276:u 263:x 251:0 248:= 245:) 242:x 239:( 236:u 227:{ 175:x 145:h 109:d 104:R

Index

mathematics
algorithm
Monte-Carlo method
boundary value problem
partial differential equations
Mervin E. Muller
Laplace's equation
Brownian motion
diffusion processes
domain
Dirichlet problem
Wiener process
law of large numbers


bias
statistical error
variance reduction
Green's Functions
Harmonic measure
Green's function
capacitance
Poisson
Poisson−Boltzmann
elliptic partial differential equation
Feynman−Kac
Bessel processes
Feynman–Kac formula
Stochastic processes and boundary value problems
Euler–Maruyama method

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