We apply the Monte Carlo method to solving the Dirichlet problem of linear parabolic equations with fractional Laplacian. This method exploits the idea of weak approximation of related stochastic differential equations driven by the symmetric stable Lévy process with jumps. We utilize the jump-adapted scheme to approximate Lévy process which gives exact exit time to the boundary. When the solution has low regularity, we establish a numerical scheme by removing the small jumps of the Lévy process and then show the convergence order. When the solution has higher regularity, we build up a higher-order numerical scheme by replacing small jumps with a simple process and then display the higher convergence order. Finally, numerical experiments including ten- and one hundred-dimensional cases are presented, which confirm the theoretical estimates and show the numerical efficiency of the proposed schemes for high-dimensional parabolic equations.

We develop walk-on-sphere method for fractional Poisson equations with Dirichilet boundary conditions in high dimensions. The walk-on-sphere method is based on probabilistic representation of the fractional Poisson equation. We propose efficient quadrature rules to evaluate integral representation in the ball and apply rejection sampling method to drawing from the computed probabilities in general domains. Moreover, we provide an estimate of the number of walks in the mean value for the method when the domain is a ball. We show that the number of walks is increasing in the fractional order and the distance of the starting point to the origin. We also give the relationship between the Green function of fractional Laplace equation and that of the classical Laplace equation. Numerical results for problems in 2-10 dimensions verify our theory and the efficiency of the modified walk-on-sphere method.

In general, the Riesz derivative and the fractional Laplacian are equivalent on ℝ. But they generally are not equivalent with each other on any proper subset of ℝ. In this paper, we focus on the difference between them on the proper subset of ℝ.

We develop walk-on-sphere method for fractional Poisson equations with Dirichilet boundary conditions in high dimensions. The walk-on-sphere method is based on probabilistic representation of the fractional Poisson equation. We propose efficient quadrature rules to evaluate integral representation in the ball and apply rejection sampling method to drawing