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arXiv · 1811.03788

Variable-step-length algorithms for a random walk: hitting probability and computation performance

Olga Klimenkova·Anton Yu. Menshutin·Lev N. Shchur
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Abstract

We present a comparative study of several algorithms for an in-plane random walk with a variable step. The goal is to check the efficiency of the algorithm in the case where the random walk terminates at some boundary. We recently found that a finite step of the random walk produces a bias in the hitting probability and this bias vanishes in the limit of an infinitesimal step. Therefore, it is important to know how a change in the step size of the random walk influences the performance of simulations. We propose an algorithm with the most effective procedure for the step-length-change protocol.

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BibTeXRIS

Olga Klimenkova, Anton Yu. Menshutin, Lev N. Shchur. 2019-04-01. Variable-step-length algorithms for a random walk: hitting probability and computation performance. https://doi.org/10.1016/j.cpc.2019.04.001

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