A global random walk on spheres algorithm for transient heat equation and some extensions
AbstractWe suggest in this paper a global Random Walk on Spheres (gRWS) method for solving transient boundary value problems, which, in contrast to the classical RWS method, calculates the solution in any desired family ofmprescribed points. The method uses onlyNtrajectories in contrast tomNtrajectories in the conventional RWS algorithm. The idea is based on the symmetry property of the Green function and a double randomization approach. We present the gRWS method for the heat equation with arbitrary initial and boundary conditions, and the Laplace equation. Detailed description is given for 3D problems; the 2D problems can be treated analogously. Further extensions to advection-diffusion-reaction equations will be presented in a forthcoming paper.