Quasirandom walk methods

MaRDI QIDQ4549491zbMATH OpenFDO

Authors Christian Lécot, Shigeyoshi Ogawa

Publication date 28 August 2002

zbMATH Keywords

diffusionserror reductionfractional stepquasi-Monte Carloquasi-random walk methodsstochastic particle methods

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Diffusion processes (60J60) Monte Carlo methods (65C05) Stochastic particle methods (65C35)

Review text

The paper applies quasi-Monte Carlo techniques to stochastic particle methods for partial differential equations. Diffusions are simulated using random walk methods. The random variables are replaced by quasi random points. The examples show that quasi-random walk methods are feasible. They can even produce more accurate results than the standard random walk method. Fractional step schemes can be easily applied. The error reduction for quasi-random walk is limited as the spatial dimension increases. For the entire collection see [Zbl 0980.00040].

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(6)

• Grid-free simulation of diffusion using random wall methods
• A quasi-random walk method for one-dimensional reaction-diffusion equations
• Random walk methods for Monte Carlo simulations of Brownian diffusion on a sphere
• Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice
• The quasi-random walk
• Evaluation of overshooting errors in particle methods for diffusion by biased global random walk

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