Efficient Monte Carlo Method for Integral Fractional Laplacian in Multiple Dimensions

04/19/2022
by   Changtao Sheng, et al.
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In this paper, we develop a Monte Carlo method for solving PDEs involving an integral fractional Laplacian (IFL) in multiple dimensions. We first construct a new Feynman-Kac representation based on the Green function for the fractional Laplacian operator on the unit ball in arbitrary dimensions. Inspired by the "walk-on-spheres" algorithm proposed in [24], we extend our algorithm for solving fractional PDEs in the complex domain. Then, we can compute the expectation of a multi-dimensional random variable with a known density function to obtain the numerical solution efficiently. The proposed algorithm finds it remarkably efficient in solving fractional PDEs: it only needs to evaluate the integrals of expectation form over a series of inside ball tangent boundaries with the known Green function. Moreover, we carry out the error estimates of the proposed method for the n-dimensional unit ball. Finally, ample numerical results are presented to demonstrate the robustness and effectiveness of this approach for fractional PDEs in unit disk and complex domains, and even in ten-dimensional unit balls.

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