Unbiased ‘walk-on-spheres’ Monte Carlo methods for the fractional Laplacian
Author:
Affiliation:
1. Department of Mathematical Sciences, University of Bath, Claverton Down, UK
2. Mathematical Institute, University of Oxford, Woodstock Road, UK
Funder
Engineering and Physical Sciences Research Council
Publisher
Oxford University Press (OUP)
Subject
Applied Mathematics,Computational Mathematics,General Mathematics
Link
http://academic.oup.com/imajna/article-pdf/38/3/1550/25170901/drx042.pdf
Reference44 articles.
1. Approximations of small jumps of Lévy processes with a view towards simulation.;Asmussen;J. Appl. Probab.,2001
2. The rate of convergence of the Walk on Spheres Algorithm.;Binder;Geom. Funct. Anal.,2012
3. Classroom notes: a derivation of n-dimensional spherical coordinates.;Blumenson;Amer. Math. Monthly,1960
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