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 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.
CITATION STYLE
Junk, M., & Venkiteswaran, G. (2007). Deterministic particle methods for high dimensional Fokker-Planck Equations. Lecture Notes in Computational Science and Engineering, 57, 165–183. https://doi.org/10.1007/978-3-540-46222-4_10
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