Stochastic numerical methods play an important role in large scale computations in the applied sciences. The first goal of this book is to give a mathematical description of classical direct simulation Monte Carlo (DSMC) procedures for rarefied gases, using the theory of Markov processes as a unifying framework. The second goal is a systematic treatment of an extension of DSMC, called stochastic weighted particle method. This method includes several new features, which are introduced for the purpose of variance reduction (rare event simulation). Rigorous convergence results as well as detailed numerical studies are presented.
- ISBN10 1280306386
- ISBN13 9781280306389
- Publish Date 1 January 2005
- Publish Status Active
- Out of Print 25 March 2015
- Publish Country US
- Imprint Springer
- Pages 256
- Language English