Quasi-Monte Carlo simulation of diffusion

DOI10.1006/jcom.1999.0509zbMath0943.65009OpenAlexW2081318305MaRDI QIDQ1961051

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

numerical examplesdiffusion equationMonte Carlo methodrandom walkparticle methodsquasi random samples

Mathematics Subject Classification ID

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

Related Items

A quasi-random walk method for one-dimensional reaction-diffusion equations, Quasi-random simulation of linear kinetic equations, Numerical solution of the Poisson equation over hypercubes using reduced Chebyshev polynomial bases, Fast simulations of stochastic dynamical systems, Quasi-Monte Carlo algorithms for diffusion equations in high dimensions, A QMC approach for high dimensional Fokker-Planck equations modelling polymeric liquids, Diffusion in a nonhomogeneous medium: quasi-random walk on a lattice, Probabilistically induced domain decomposition methods for elliptic boundary-value problems

Cites Work

• Unnamed Item
• Unnamed Item
• Point sets and sequences with small discrepancy
• Sequences, discrepancies and applications
• Low-discrepancy and low-dispersion sequences
• Particle simulations of the Kac model of the Boltzmann equation
• On quasi-Monte Carlo simulation of stochastic differential equations
• A Quasi-Monte Carlo Method for the Boltzmann Equation
• Discrépance de suites associées à un système de numération (en dimension s)
• A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
• A Quasi-Monte Carlo Scheme Using Nets for a Linear Boltzmann Equation