A Feynman-Kac path-integral implementation for Poisson's equation using an h-conditioned Green's function

This study presents a Feynman–Kac path-integral implementation for solving the Dirichlet problem for Poisson’s equation. The algorithm is a modified “walk on spheres” (WOS) that includes the Feynman–Kac path-integral contribution for the source term. In our approach, we use an h-conditioned Green’s function instead of simulating Brownian trajectories in detail to implement this path-integral computation. The h-conditioned Green’s function allows us to represent the integral of the right-hand-side function from the Poisson equation along Brownian paths as a volume integral with respect to a residence time density function: the h-conditioned Green’s function. The h-conditioned Green’s function allows us to solve the Poisson equation by simulating Brownian trajectories involving only large jumps, which is consistent with both WOS and our Green’s function first-passage (GFFP) method [J. Comput. Phys. 174 (2001) 946]. As verification of the method, we tabulate the h-conditioned Green’s function for Brownian motion starting at the center of the unit circle and making first-passage on the boundary of the circle, find an analytic expression fitting the h-conditioned Green’s function, and provide results from a numerical experiment on a two-dimensional Poisson problem. © 2002 IMACS. Published by Elsevier Science B.V. All rights reserved. PACS: 02.60.Lj; 02.70.Tt