The rate of convergence of the Walk on Spheres Algorithm |
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| Authors: | Ilia Binder Mark Braverman |
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| Affiliation: | 1. Department of Mathematics, University of Toronto, Toronto, Canada
2. Department of Computer Science, Princeton University, Princeton, USA
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| 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 a complete characterization of the rate of convergence of WoS in terms of the local geometry of a domain. |
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