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Computation of Local Time of Reflecting Brownian Motion and Probabilistic Representation of the Neumann Problem

Research paper by Yijing Zhou, Wei Cai, Elton Hsu

Indexed on: 04 Feb '15Published on: 04 Feb '15Published in: Mathematics - Numerical Analysis



Abstract

In this paper, we propose numerical methods for computing the boundary local time of reflecting Brownian motion (RBM) in R3 and its use in the probabilistic representation of the solution of the Laplace equation with the Neumann boundary condition. Approximations of the RBM based on a walk-on-spheres (WOS) and random walk on lattices are discussed and tested for sampling the RBM paths and their applicability in finding accurate approximation of the local time and discretization of the probabilistic formula. Numerical tests for several types of domains (cube, sphere, and ellipsoid) have shown the convergence of the numerical methods as the length of the RBM path and number of paths sampled increase.