Quasi-Monte Carlo Simulation of Diffusion
Copyright policy )Quasi-Monte Carlo Simulation of Diffusion
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.
- Laboratoire de Mathématiques France
- Grenoble Alpes University France
- LABORATOIRE DE MATHEMATIQUES France
- Université Savoie Mont Blanc France
Statistics and Probability, numerical examples, Numerical Analysis, Algebra and Number Theory, Control and Optimization, diffusion equation, Applied Mathematics, Stochastic particle methods, Monte Carlo methods, random walk, Monte Carlo method, particle methods, Initial value problems for second-order parabolic equations, Diffusion processes, [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA], quasi random samples
Statistics and Probability, numerical examples, Numerical Analysis, Algebra and Number Theory, Control and Optimization, diffusion equation, Applied Mathematics, Stochastic particle methods, Monte Carlo methods, random walk, Monte Carlo method, particle methods, Initial value problems for second-order parabolic equations, Diffusion processes, [MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA], quasi random samples
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