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The walk on moving spheres: A new tool for simulating Brownian motion's exit time from a domain.

Madalina DeaconuSamuel HerrmannSylvain Maire
Published in: Math. Comput. Simul. (2017)
Keyphrases
  • brownian motion
  • optimal stopping
  • stochastic process
  • vector valued
  • optimal control
  • diffusion process
  • random walk
  • differential equations
  • image processing
  • domain adaptation
  • heavy traffic
  • random variables