## Abstract

The solution of the exterior-value problem for the fractional Laplacian can be computed by a Walk Outside Spheres algorithm. This involves sampling α-stable Levy processes on their exit from maximally inscribed balls and sampling their occupation distribution. Kyprianou, Osojnik, and Shardlow (2018) developed this algorithm, providing a complexity analysis and an implementation, for approximating the solution at a single point in the domain. This paper shows how to efficiently sample the whole field by generating an approximation in L
^{2}(D) for a domain D. The method takes advantage of a hierarchy of triangular meshes and uses the multilevel Monte Carlo method for Hilbert space-valued quantities of interest. We derive complexity bounds in terms of the fractional parameter α and demonstrate that the method gives accurate results for two problems with exact solutions. Finally, we show how to couple the method with the variable-accuracy Arnoldi iteration to compute the smallest eigenvalue of the fractional Laplacian. A criteria is derived for the variable accuracy and a comparison is given with analytical results of Dyda (2012).

Original language | English |
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Pages (from-to) | 2767-2792 |

Number of pages | 26 |

Journal | Mathematics of Computation (MCOM) |

Volume | 88 |

Issue number | 320 |

DOIs | |

Publication status | Published - 14 Mar 2019 |

## Keywords

- math.NA
- Arnoldi algorithm
- Eigenvalue problems
- Exterior-value problems
- Levy processes
- Multilevel Monte Carlo
- Numerical solution of PDEs
- Fractional Laplacian
- Walk on spheres

## ASJC Scopus subject areas

- Computational Mathematics
- Applied Mathematics
- Algebra and Number Theory