14 citations · 15 across the 3 of their papers we have counts for
5 papers
A Partially Reflecting Random Walk on Spheres Algorithm for Electrical Impedance Tomography
Sylvain Maire, Martin Simon
In this work, we develop a probabilistic estimator for the voltage-to-current map arising in electrical impedance tomography. This novel so-called partially reflecting random walk…
Monte Carlo methods for linear and non-linear Poisson-Boltzmann equation
Mireille Bossy, Nicolas Champagnat, Helene Leman +3
The electrostatic potential in the neighborhood of a biomolecule can be computed thanks to the non-linear divergence-form elliptic Poisson-Boltzmann PDE. Dedicated Monte-Carlo meth…
The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
Madalina Deaconu, Samuel Herrmann, Sylvain Maire
In this paper we introduce a new method for the simulation of the exit time and position of a -dimensional Brownian motion from a domain. The main interest of our method is that…
Adaptive numerical integration and control variates for pricing Basket Options
Christophe De Luigi, Jérôme Lelong, Sylvain Maire
We develop a numerical method for pricing multidimensional vanilla options in the Black-Scholes framework. In low dimensions, we improve an adaptive integration algorithm proposed…
Monte Carlo approximations of the Neumann problem
Sylvain Maire, Etienne Tanré
We introduce Monte Carlo methods to compute the solution of elliptic equations with pure Neumann boundary conditions. We first prove that the solution obtained by the stochastic re…