The rate of convergence of the Walk on Spheres Algorithm
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🧮 math.PR
math.CA
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convergenceratealgorithmsphereswalkalgorithmsbrowniancharacterization
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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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