相关论文: Escape-from-a-layer approach for simulating the bo…
In this paper we introduce a new method for the simulation of the exit time and position of a $\delta$-dimensional Brownian motion from a domain. The main interest of our method is that it avoids splitting time schemes as well as inversion…
We consider Monte Carlo methods for simulating solutions to the analogue of the Dirichlet boundary-value problem in which the Laplacian is replaced by the fractional Laplacian and boundary conditions are replaced by conditions on the…
In this paper, we propose numerical methods for computing the boundary local time of reflecting Brownian motion (RBM) in R3 and its use in the probabilistic representation of the solution of the Laplace equation with the Neumann boundary…
We investigate the boundary local time on polygonal boundaries such as finite generations of the Koch snowflake. To reveal the role of angles, we first focus on wedges and obtain the mean boundary local time, its variance, and the…
In this paper we investigate three discrete or semi-discrete approximation schemes for reflected Brownian motion on bounded Euclidean domains. For a class of bounded domains $D$ in $\mathbb{R}^n$ that includes all bounded Lipschitz domains…
We revise the encounter-based approach to imperfect diffusion-controlled reactions, which employs the statistics of encounters between a diffusing particle and the reactive region to implement surface reactions. We extend this approach to…
The narrow escape problem is a first-passage problem concerned with randomly moving particles in a physical domain, being trapped by absorbing surface traps (windows), such that the measure of traps is small compared to the domain size. The…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm so-called Walk on Moving Spheres was already introduced in the Brownian context. The aim is…
This paper presents a novel formula for the transition density of the Brownian motion on a sphere of any dimension and discusses an algorithm for the simulation of the increments of the spherical Brownian motion based on this formula. The…
Throughout physics Brownian dynamics are used to describe the behaviour of molecular systems. When the Brownian particle is confined to a bounded domain, a particularly important question arises around determining how long it takes the…
Escape of active agents from metastable states is of great interest in statistical and biological physics. In this study, we investigate the escape of a flexible active ring, composed of active Brownian particles, from a flat attractive…
In this paper, we present numerical methods to implement the probabilistic representation of third kind (Robin) boundary problem for the Laplace equations. The solution is based on a Feynman-Kac formula for the Robin problem which employs…
Diffusion in heterogeneous media partitioned by semi-permeable interfaces has a wide range of applications in the physical and life sciences, including gas permeation in soils, diffusion magnetic resonance imaging (dMRI), drug delivery,…
How long does a diffusing molecule spend in a close vicinity of a confining boundary or a catalytic surface? This quantity is determined by the boundary local time, which plays thus a crucial role in the description of various…
Activity significantly enhances the escape rate of a Brownian particle over a potential barrier. Whereas constant activity has been extensively studied in the past, little is known about the effect of time-dependent activity on the escape…
Sticky Brownian motion is the simplest example of a diffusion process that can spend finite time both in the interior of a domain and on its boundary. It arises in various applications such as in biology, materials science, and finance.…
The distribution of exit times is computed for a Brownian particle in spherically symmetric two- dimensional domains (disks, angular sectors, annuli) and in rectangles that contain an exit on their boundary. The governing partial…
In this paper, we present a stochastic method for the simulation of Laplace's equation with a mixed boundary condition in planar domains that are polygonal or bounded by circular arcs. We call this method the Reflected Walk-on-Spheres…
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here…
We propose a theoretical method to decompose the solution of a Stokes flow past a body immersed in a confined fluid in two simpler problems, related separately to the two geometrical elements of these systems: (i) the body immersed in the…