The rate of convergence of the Walk on Spheres Algorithm
Author(s): Binder, Ilia; Braverman, Mark
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Abstract: | In this paper we examine the rate of convergence of one of the standard algorithms for emulating exit probabilities of Brownian motion, the Walk on Spheres (WoS) algorithm. We obtain a complete characterization of the rate of convergence of WoS in terms of the local geometry of a domain. |
Publication Date: | 2012 |
Citation: | Binder, Ilia, and Mark Braverman. "The rate of convergence of the walk on spheres algorithm." Geometric and Functional Analysis 22, no. 3 (2012): pp. 558-587. doi:10.1007/s00039-012-0161-z |
DOI: | 10.1007/s00039-012-0161-z |
ISSN: | 1016-443X |
EISSN: | 1420-8970 |
Pages: | 558 - 587 |
Type of Material: | Journal Article |
Journal/Proceeding Title: | Geometric and Functional Analysis |
Version: | Author's manuscript |
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