exitbm: a library for simulating Brownian motion’s exit times and positions from simple domains. The exitbm library provides methods to simulate random variables related to the first exit time and position of the Brownian motion from simple domains, namely intervals, squares and rectangles. This library may be used in order to implements Monte Carlo methods such as the random walk on squares and on rectangles, which are variant to the random walk on spheres with the advantage of having explicitly and exactly the exit time. These algorithms allow one to solve the Dirichlet problem, but also other linear problems as well as computing the first eigenvalue of the Laplace operator or other quantities related to this operator.
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References in zbMATH (referenced in 3 articles )
Showing results 1 to 3 of 3.
- Agarwal, Ankush; Claisse, Julien: Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method (2020)
- Herrmann, Samuel; Zucca, Cristina: Exact simulation of first exit times for one-dimensional diffusion processes (2020)
- Lejay, Antoine; Pichot, Géraldine: Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps (2012)