Reply to the comment on the article ``An effective particle tracing scheme on structured/unstructured grids in hybrid finite volume/PDF Monte Carlo methods by G. Li and M. F. Modest

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

[See the paper of \textit{J.-P. Minier}, \textit{R. Cao} and \textit{S. B. Pope}, ibid. 186, No. 1, 356-358 (2003; reviewed above).] From the text: After rechecking the scheme, we agree that as used the scheme is only first-order accurate for constant density flows, and will produce a spurious drift for variable-density flows. It was not our intention to devise a new integration scheme for stochastic differential equations in our paper. The motivation of using a predictor/corrector scheme was to reduce the statistical error in Monte Carlo simulations. It was found in our study that such a predictor/corrector scheme, although only first-order accurate, gives much smaller statistical error than the conventional Euler scheme.

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