Quiet direct simulation Monte-Carlo with random timesteps

DOI10.1016/j.jcp.2006.06.008zbMath1110.65005OpenAlexW2051192692MaRDI QIDQ870523

William Peter

Publication date: 13 March 2007

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2006.06.008

zbMATH Keywords

numerical examplesdiffusion equationparticle-in-cell methodsdirect simulation Monte-Carlostochastic processess

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Heat equation (35K05)

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Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance ⋮ An exponential timestepping algorithm for diffusion with discontinuous coefficients ⋮ A low-variance deviational simulation Monte Carlo for the Boltzmann equation ⋮ An improved quiet direct simulation method for Eulerian fluids using a second-order scheme

Cites Work

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• Direct simulation methods for compressible inviscid ideal-gas flow
• Failure analysis of the molecular block model for the direct simulation Monte Carlo method
• Exponential Timestepping with Boundary Test for Stochastic Differential Equations
• Efficient numerical solution of stochastic differential equations using exponential timestepping
• Statistical simulation of low-speed rarefied gas flows

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