Paper detail

Computation of Local Time of Reflecting Brownian Motion and Probabilistic Representation of the Neumann Problem

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 condition. Approximations of the RBM based on a walk-on-spheres (WOS) and random walk on lattices are discussed and tested for sampling the RBM paths and their applicability in finding accurate approximation of the local time and discretization of the probabilistic formula. Numerical tests for several types of domains (cube, sphere, and ellipsoid) have shown the convergence of the numerical methods as the length of the RBM path and number of paths sampled increase.

preprint2015arXivOpen access

Signal facts

What is known right now

Open access3 authors1 topic

Next steps

Decide what to do with this paper

Use like or dislike for the fast social read. The more specific scholarly feedback stays available below when needed.

Log in to curate

Reading frame

Keep the important context close to the paper

Keep the important signals around this paper in one place: votes, save state, collection context, reviews and the metadata you need before deciding what to do next.

Institutions

Add specific reaction

Move through the context

Research map

Open full explorer

Move through nearby people, institutions, topics and adjacent work without leaving the paper page.

Building this map preview

BZPEER is loading the nearby papers, people, topics and institutions for this page.

Structured reviews

0 review(s)

ContributeLeave structured feedbackUse the review template when you have a concrete strength, concern or method question.Open review form

No structured reviews yet. High-signal critique starts here.

Work discussion

0 comment(s)

DiscussAdd a high-signal commentKeep quick notes, caveats and replication pointers separate from formal reviews.Open comment form

No discussion yet. The first strong comment sets the tone.