In this paper, we propose numerical methods for computing the boundary local time of reflecting Brownian motion (RBM) in R 3 and its use in the probabilistic representation of the solution of the Laplace equation with the Neumann boundary condition. Approximations of the RBM based on a walk-on-spheres (WOS) and random walk on lattices are discussed and tested for sampling the RBM paths and their applicability in finding accurate approximation of the local time and discretization of the probabilistic formula. Numerical tests for several types of domains (cube, sphere, and ellipsoid) have shown the convergence of the numerical methods as the length of the RBM path and number of paths sampled increase.

In this paper, we present numerical methods to implement the probabilistic representation of third kind (Robin) boundary problem for the Laplace equations. The solution is based on a Feynman-Kac formula for the Robin problem which employs the standard reflecting Brownian motion (SRBM) and its boundary local time arising from the Skorohod problem. By simulating SRBM paths through Brownian motion using Walk on Spheres (WOS) method, approximation of the boundary local time is obtained and the Feynman-Kac formula is calculated by evaluating the average of all path integrals over the boundary under a measure defined through the local time. Numerical results demonstrate the accuracy and efficiency of the proposed method for finding a local solution of the Laplace equations with Robin boundary conditions.

No abstract

No abstract

No abstract