A particle method for some parabolic equations (Q1392780)

This paper deals with a quasi-Monte-Carlo method for particle simulation of some multi-dimensional linear parabolic equation with constant coefficients. First, the particle method for solving linear parabolic equation is explained, where the solution is recovered by the quasi-Monte-Carlo method. Then, a priori error estimates for the particle method are given. The results of numerical experiments by the particle method and a Monte-Carlo method for the parabolic equation in one and two dimensions are compared. They suggest that the particle method generally works better.