Quasi-Monte Carlo simulation of diffusion

DOI10.1006/JCOM.1999.0509MaRDI QIDQ1961051zbMATH OpenOpenAlexFDO

Authors Faysal El Khettabi, Christian Lécot

Publication date 21 August 2000

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jcom.1999.0509

zbMATH Keywords

diffusion equationMonte Carlo methodnumerical examplesparticle methodsquasi random samplesrandom walk

Mathematics Subject Classification ID

Initial value problems for second-order parabolic equations (35K15) Diffusion processes (60J60) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

Review text

A Monte Carlo method of random walk type is constructed to determine the solution of a diffusion equation. Upper bounds for the error and computational examples are given.

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Cites work

• A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
• A Quasi-Monte Carlo Method for the Boltzmann Equation
• A Quasi-Monte Carlo Scheme Using Nets for a Linear Boltzmann Equation
• Discrépance de suites associées à un système de numération (en dimension s)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 3387452 (Why is no real title available?)
• Low-discrepancy and low-dispersion sequences
• On quasi-Monte Carlo simulation of stochastic differential equations
• Particle simulations of the Kac model of the Boltzmann equation
• Point sets and sequences with small discrepancy
• Sequences, discrepancies and applications

Cited in

(12)

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• Quasi-Monte Carlo algorithms for diffusion equations in high dimensions
• A QMC approach for high dimensional Fokker-Planck equations modelling polymeric liquids
• A quasi-random walk method for one-dimensional reaction-diffusion equations
• Fast simulations of stochastic dynamical systems
• Probabilistically induced domain decomposition methods for elliptic boundary-value problems
• Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice
• scientific article; zbMATH DE number 822307 (Why is no real title available?)
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• A QMC-Deep Learning Method for Diffusivity Estimation in Random Domains
• Numerical solution of the Poisson equation over hypercubes using reduced Chebyshev polynomial bases

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