Computation of the local time of reflecting brownian motion and the probabilistic representation of the neumann problem

Yijing Zhou, Wei Cai*, Elton Hsu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

In this paper, we propose numerical methods for computing the boundary local time of reflecting Brownian motion (RBM) for a bounded domain in R3 and the probabilistic solution of the Laplace equation with the Neumann boundary condition. Approximations of RBM based on walk-on-spheres (WOS) and random walk on lattices are discussed and tested for sampling RBM paths and their applicability in finding accurate approximation of the local time and discretization of the probabilistic representation of the Neumann problems using the computed local time. Numerical tests for several domains (a cube, a sphere, an ellipsoid, and a non-convex non-smooth domain made of multiple spheres) have shown the convergence of the numerical methods as the time length of RBM paths and number of paths sampled increase.

Original languageEnglish (US)
Pages (from-to)237-259
Number of pages23
JournalCommunications in Mathematical Sciences
Volume15
Issue number1
DOIs
StatePublished - 2017

Keywords

  • Boundary local time
  • Brownian motion
  • Laplace equation
  • Random walk
  • Reflecting brownian motion
  • Skorohod problem
  • WOS

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics

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