Extended Walk-on-Spheres Algorithm for Linear and Nonlinear Elliptic Problems of Divergence-type

Iulian Cîmpean, Andreea Grecu, Arghir Zarnescu

The Walk-on-Spheres algorithm, introduced by M. E. Muller in 1956, is a well known Monte Carlo method that leverages Brownian exit distributions from spheres to solve the Laplace e…