Monte-Carlo simulation stochastic differential equations

V, ip, x, and t) in the PDF transport equation makes it intractable to solve using standard discretization methods. Instead, Lagrangian PDF methods (Pope 1994a) can be used to express the problem in terms of stochastic differential equations for so-called notional particles. In Chapter 7, we will discuss grid-based Eulerian PDF codes which also use notional particles. However, in the Eulerian context, a notional particle serves only as a discrete representation of the Eulerian PDF and not as a model for a Lagrangian fluid particle. The Lagrangian Monte-Carlo simulation methods discussed in Chapter 7 are based on Lagrangian PDF methods. 

The positions are obtained by numerically solving differential equations. Hence, these positions are connected in time. The positions reveal real dynamics of individual molecules. In other simulation methods, the molecular positions are not temporarily related. In other simulation methods, such as Monte Carlo simulations, the positions are generated stochastically such that a molecular configuration depends only on the previous configuration [7-10],... 

Artificial realization of the system behavior (35). This method is commonly applied to complex particulate processes, which are described in some detail here. In the artificial realization, the direct evaluation of integral and differential functions is replaced by the simulation of the stochastic behavior modeled by using a randomness generator to vary the behavior of the system (20). The important probabilistic functions in the original model equations, such as coalescence kernels for granulation processes, are still essential in Monte Carlo simulations and are shown later. 

Over the past ten years the numerical simulation of the behavior of complex reaction systems has become a fairly routine procedure, and has been widely used in many areas of chemistry, [l] The most intensive application has been in environmental, atmospheric, and combustion science, where mechanisms often consisting of several hundred reactions are involved. Both deterministic (numerical solution of mass-action differential equations) and stochastic (Monte-Carlo) methods have been used. The former approach is by far the most popular, having been made possible by the development of efficient algorithms for the solution of the "stiff" ODE problem. Edelson has briefly reviewed these developments in a symposium volume which includes several papers on the mathematical techniques and their application. [2]... 

It is often stated that MC methods lack real time and results are usually reported in MC events or steps. While this is immaterial as far as equilibrium is concerned, following real dynamics is essential for comparison to solutions of partial differential equations and/or experimental data. It turns out that MC simulations follow the stochastic dynamics of a master equation, and with appropriate parameterization of the transition probabilities per unit time, they provide continuous time information as well. For example, Gillespie has laid down the time foundations of MC for chemical reactions in a spatially homogeneous system.f His approach is easily extendable to arbitrarily complex computational systems when individual events have a prescribed transition probability per unit time, and is often referred to as the kinetic Monte Carlo or dynamic Monte Carlo (DMC) method. The microscopic processes along with their corresponding transition probabilities per unit time can be obtained via either experiments such as field emission or fast scanning tunneling microscopy or shorter time scale DFT/MD simulations discussed earlier. The creation of a database/lookup table of transition... 

This selection process is then iterated, beginning from an initial state of the system, as defined by species populations, to simulate a chemical evolution. A statistical ensemble is generated by repeated simulation of the chemical evolution using different sequences of random numbers in the Monte Carlo selection process. Within limits imposed by computer time restrictions, ensemble population averages and relevant statistical information can be evaluated to any desired degree of accuracy. In particular, reliable values for the first several moments of the distribution can be obtained both inexpensively and efficiently via a computer algorithm which is incredibly easy to implement (21, 22), especially in comparison to now-standard techniques foF soTving the stiff ordinary differential equations (48, 49) which may arise in the deterministic description of chemical kinetics (53). Now consider briefly the essential features of a simple chemical model which illustrates well the attributes of stochastic chemical simulations. 

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