The rate of convergence of the Walk on Spheres Algorithm

Details The rate of convergence of the Walk on Spheres Algorithm The rate of convergence of the Walk on Spheres Algorithm

2008-10-18

arxiv.org/abs/0810.3343v1

Mathematics

Probability

Scientific paper

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.

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