Calculating effective diffusivities in the limit of vanishing molecular diffusion
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effective diffusivityhomogenization theoryinertial particlesMonte Carlo methodsmultiscale analysispassive tracers
Multiple scale methods for ordinary differential equations (34E13) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30) Long-time behavior of solutions for dynamical problems in solid mechanics (74H40)
Abstract: In this paper we study the problem of the numerical calculation (by Monte Carlo Methods) of the effective diffusivity for a particle moving in a periodic divergent-free velocity filed, in the limit of vanishing molecular diffusion. In this limit traditional numerical methods typically fail, since they do not represent accurately the geometry of the underlying deterministic dynamics. We propose a stochastic splitting method that takes into account the volume preserving property of the equations motion in the absence of noise, and when inertial effects can be neglected. An extension of the method is then proposed for the cases where the noise has a non trivial time-correlation structure and when inertial effects cannot be neglected. Modified equations are used to perform backward error analysis. The new stochastic geometric integrators are shown to outperform standard Euler-based integrators. Various asymptotic limits of physical interest are investigated by means of numerical experiments, using the new integrators.
A stochastic splitting method is presented for numerically approximating solutions of stochastic differential equations that arise when studying the transport properties of particles in fluid flows. The method is shown to be convergent and to generate results that agree with theoretical predictions for examples given.
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