Certain Problems with the Application of Stochastic Diffusion Processes for the Description of Chemical Engineering Phenomena. Numerical Simulation of One-Dimensional Diffusion Process

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Title:Certain Problems with the Application of Stochastic Diffusion Processes for the Description of Chemical Engineering Phenomena. Numerical Simulation of One-Dimensional Diffusion Process
Creators:
Hasal, Pavel
Kudrna, Vladimír
Journal or Publication Title:
Collection of Czechoslovak Chemical Communications, 61, 4, pp. 512-535
Uncontrolled Keywords:Stochastic differential equation, Diffusion process, Stochastic modelling

Abstract

Some problems are analyzed arising when a numerical simulation of a random motion of a large ensemble of diffusing particles is used to approximate the solution of a one-dimensional diffusion equation. The particle motion is described by means of a stochastic differential equation. The problems emerging especially when the diffusion coefficient is a function of spatial coordinate are discussed. The possibility of simulation of various kinds of stochastic integral is demonstrated. It is shown that the application of standard numerical procedures commonly adopted for ordinary differential equations may lead to erroneous results when used for solution of stochastic differential equations. General conclusions are verified by numerical solution of three stochastic differential equations with different forms of the diffusion coefficient.

Title:Certain Problems with the Application of Stochastic Diffusion Processes for the Description of Chemical Engineering Phenomena. Numerical Simulation of One-Dimensional Diffusion Process
Creators:
Hasal, Pavel
Kudrna, Vladimír
Uncontrolled Keywords:Stochastic differential equation, Diffusion process, Stochastic modelling
Divisions:Life and Chemical Sciences > Institute of Organic Chemistry and Biochemistry > Collection of Czechoslovak Chemical Communications
Journal or Publication Title:Collection of Czechoslovak Chemical Communications
Volume:61
Number:4
Page Range:pp. 512-535
ISSN:0010-0765
E-ISSN:1212-6950
Publisher:Institute of Organic Chemistry and Biochemistry
Related URLs:
URLURL Type
http://dx.doi.org/10.1135/cccc19960512UNSPECIFIED
ID Code:954
Item Type:Article
Deposited On:06 Feb 2009 17:05
Last Modified:06 Feb 2009 16:05

Citation

Hasal, Pavel; Kudrna, Vladimír (1996) Certain Problems with the Application of Stochastic Diffusion Processes for the Description of Chemical Engineering Phenomena. Numerical Simulation of One-Dimensional Diffusion Process. Collection of Czechoslovak Chemical Communications, 61 (4). pp. 512-535. ISSN 0010-0765

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