The rate of convergence of the Walk on Spheres Algorithm
Probability
2008-10-21 v1 Classical Analysis and ODEs
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 the complete characterization of the rate of convergence of WoS in terms of the local geomnetry of a domain.
Keywords
Cite
@article{arxiv.0810.3343,
title = {The rate of convergence of the Walk on Spheres Algorithm},
author = {Ilia Binder and Mark Braverman},
journal= {arXiv preprint arXiv:0810.3343},
year = {2008}
}