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Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres

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  • SABELFELD K.K.
  • TALAY D.

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  • Sabelfeld K.K. & Talay D., 1995. "Integral Formulation of the Boundary Value Problems and the Method of Random Walk on Spheres," Monte Carlo Methods and Applications, De Gruyter, vol. 1(1), pages 1-34, December.
    • Handle: RePEc:bpj:mcmeap:v:1:y:1995:i:1:p:1-34:n:2
    DOI: 10.1515/mcma.1995.1.1.1
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    References listed on IDEAS

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    1. Minoru Motoo, 1959. "Some evaluations for continuous Monte Carlo method by using Brownian hitting process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 11(1), pages 49-54, February.
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    Cited by:

    1. Deaconu, M. & Herrmann, S. & Maire, S., 2017. "The walk on moving spheres: A new tool for simulating Brownian motion’s exit time from a domain," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 135(C), pages 28-38.
    2. Sabelfeld K.K. & Shalimova I.A., 1995. "Random Walk on Spheres Process for Exterior Dirichlet Problem," Monte Carlo Methods and Applications, De Gruyter, vol. 1(4), pages 325-331, December.
    3. Sabelfeld Karl K. & Shalimova Irina A., 2002. "Random Walk on Spheres methods for iterative solution of elasticity problems," Monte Carlo Methods and Applications, De Gruyter, vol. 8(2), pages 171-202, December.
    4. Madalina Deaconu & Antoine Lejay, 2006. "A Random Walk on Rectangles Algorithm," Methodology and Computing in Applied Probability, Springer, vol. 8(1), pages 135-151, March.
    5. Shalimova, I.A., 1998. "A Monte Carlo iterative procedure for solving the pseudo-vibration elastic equation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 47(2), pages 449-453.

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    1. Sabelfeld Karl K. & Shalimova Irina A., 2002. "Random Walk on Spheres methods for iterative solution of elasticity problems," Monte Carlo Methods and Applications, De Gruyter, vol. 8(2), pages 171-202, December.

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