preprint - - preprint - - preprint - - preprint - - preprint - - Deterministic Particle Methods for High Dimensional Fokker - Planck Equations
نویسنده
چکیده
We consider a mathematical model for polymeric liquids which requires the solution of high-dimensional Fokker-Planck equations related to stochastic differential equations. While Monte-Carlo (MC) methods are classically used to construct approximate solutions in this context, we consider an approach based on QuasiMonte-Carlo (QMC) approximations. Although QMC has proved to be superior to MC in certain integration problems, the advantages are not as pronounced when dealing with stochastic differential equations. In this article, we illustrate the basic difficulty which is related to the construction of QMC product measures.
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Pioneer Award (DP1OD003874). Java Code for the model is available from the authors upon request.. CC-BY-NC-ND 4.0 International license peer-reviewed) is the author/funder. It is made available under a The copyright holder for this preprint (which was not. doi: bioRxiv preprint first posted online Apr. 24, 2014;. CC-BY-NC-ND 4.0 International license peer-reviewed) is the author/funder. It is m...
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