Deterministic Particle Methods for High Dimensional Fokker-Planck Equations

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dc.contributor.authorVenkiteswaran, G.
dc.date.accessioned2023-08-18T04:22:44Z
dc.date.available2023-08-18T04:22:44Z
dc.date.issued2006
dc.description.abstractWe 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 Quasi- Monte-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.en_US
dc.identifier.urihttps://link.springer.com/chapter/10.1007/978-3-540-46222-4_10
dc.identifier.urihttp://dspace.bits-pilani.ac.in:8080/xmlui/handle/123456789/11498
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.subjectMathematicsen_US
dc.subjectMonte Carloen_US
dc.subjectPolymeric Liquiden_US
dc.subjectHalton Sequenceen_US
dc.subjectConsecutive Componenten_US
dc.subjectWiener Incrementen_US
dc.titleDeterministic Particle Methods for High Dimensional Fokker-Planck Equationsen_US
dc.typeArticleen_US

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