Convergence rate for spherical processes with shifted centres*

Golyandina N.

Monte Carlo Methods and Applications, 2004, vol. 10, issue 3-4, 287-296

Abstract: The paper is devoted to study of a modification of the random walks on spheres in a finite domain G ⊂ ℝm, m ≥ 2. It is proved that the considered spherical process with shifted centres converges to the boundary of G very rapidly. Namely, the average number of steps before fitting the ε-neighborhood of the boundary has the order of ln |ln ε| as ε → 0 instead of the standard order of |ln ε|. Thus, the spherical process with shifted centres can be effectively used for Monte Carlo solution of different problems of the mathematical physics related to the Laplace operator.

Keywords: random walk on spheres; spherical process with shifted centres; convergence rate; Laplace operator; Monte Carlo solution (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1515/mcma.2004.10.3-4.287

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