The rate of convergence of the Walk on Spheres Algorithm

2008/10/18 by Ilia Binder, Binder, Ilia, Mark Braverman +1
Computer Science · Mathematics · #31B05 #31B25 #60G42 #65C05 #Classical Analysis and ODEs (math.CA) #FOS: Mathematics #Matrix Theory and Algorithms #Probability (math.PR) #Spectral Theory in Mathematical Physics #advanced mathematical theories

paper · pdf · doi:10.48550/arxiv.0810.3343

openalex publication_date 2008/10/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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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