Related papers: A Practical Walk-on-Boundary Method for Boundary V…
We combine the one-dimensional Monte Carlo simulation and the semi-analytical one-dimensional heat potential method to design an efficient technique for pricing barrier options on assets with correlated stochastic volatility. Our approach…
This paper presents a new Monte Carlo (MC) algorithm for time-dependent particle transport problems with global variance reduction based on automatic weight windows (WWs). The centers of WWs at a time step are defined by the solution of an…
Boundary value problems on the unit sphere arise naturally in geophysics and oceanography when scientists model a physical quantity on large scales. Robust numerical methods play an important role in solving these problems. In this article,…
We extend the One-Way Navier Stokes (OWNS) approach to support nonlinear interactions between waves of different frequencies, which will enable nonlinear analysis of instability and transition. In OWNS, the linearized Navier-Stokes…
This work investigates the application of the Newton's method for the numerical solution of a nonlinear boundary value problem formulated through an ordinary differential equation (ODE). Nonlinear ODEs arise in various mathematical modeling…
We present a velocity-based Monte Carlo fluid solver that overcomes the limitations of its existing vorticity-based counterpart. Because the velocity-based formulation is more commonly used in graphics, our Monte Carlo solver can be readily…
The method is proposed for the study of many-point boundary value problems for systems of nonlinear ODE, by reducing them to special equivalent integral equations, and allows us [in contrast with the known method [1]] to consider boundary…
Walk on Spheres algorithms leverage properties of Brownian Motion to create Monte Carlo estimates of solutions to a class of elliptic partial differential equations. We propose a new caching strategy which leverages the continuity of paths…
In this work, we develop a probabilistic estimator for the voltage-to-current map arising in electrical impedance tomography. This novel so-called partially reflecting random walk on spheres estimator enables Monte Carlo methods to compute…
We develop a numerical method for solving the boundary value problem of The Linear Seventh Ordinary Boundary Value Problem by using seventh degree B-Spline function. Formulation is based on particular terms of order of seventh order…
A new reformulation of a free boundary problem for the Stokes equations governing a viscous flow with overdetermined condition on the free boundary is proposed. The idea of the method is to transform the governing equations to a boundary…
In this work we propose a novel approach to investigate boundary value problems (BVPs) for fully third order differential equations. It is based on the reduction of BVPs to operator equations for the nonlinear terms but not for the…
We propose a fast algorithm for the probabilistic solution of boundary value problems (BVPs), which are ordinary differential equations subject to boundary conditions. In contrast to previous work, we introduce a Gauss--Markov prior and…
The immersed boundary method is a numerical and mathematical formulation for solving fluid-structure interaction problems. It relies on solving fluid equations on an Eulerian fluid grid and interpolating the resulting velocity back onto…
We present a numerical method to evaluate worldline (WL) path integrals defined on a curved Euclidean space, sampled with Monte Carlo (MC) techniques. In particular, we adopt an algorithm known as YLOOPS with a slight modification due to…
A new technique is presented to solve a class of linear boundary value problems (BVP). Technique is primarily based on an operational matrix developed from a set of modified Bernoulli polynomials. The new set of polynomials is an…
Partial differential equation (PDE) solvers underpin scientific computing, but real-world deployment is bounded by compute. Classical Monte Carlo solvers such as Walk-on-Spheres (WoS) are unbiased and geometry-agnostic but are slow. Learned…
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…
A Neural Network (NN) based numerical method is formulated and implemented for solving Boundary Value Problems (BVPs) and numerical results are presented to validate this method by solving Laplace equation with Dirichlet boundary condition…
The aim of this work is to point out that the class of free boundary problems governed by second order autonomous ordinary differential equations can be transformed to initial value problems. Interest in the numerical solution of free…