Asymptotic-Preserving Monte Carlo methods for transport equations in the diffusive limit

We develop a new Monte Carlo method that solves hyperbolic transport equations with stiff terms, characterized by a (small) scaling parameter. In particular, we focus on systems which lead to a reduced problem of parabolic type in the limit when the scaling parameter tends to zero. Classical Monte Carlo methods suffer of severe time step limitations in these situations, due to the fact that the characteristic speeds go to infinity in the diffusion limit. This makes the problem a real challenge, since the scaling parameter may differ by several orders of magnitude in the domain. To circumvent these time step limitations, we construct a new, asymptotic-preserving Monte Carlo method that is stable independently of the scaling parameter and degenerates to a standard probabilistic approach for solving the limiting equation in the diffusion limit. The method uses an implicit time discretization to formulate a modified equation in which the characteristic speeds do not grow indefinitely when the scaling factor tends to zero. The resulting modified equation can readily be discretized by a Monte Carlo scheme, in which the particles combine a finite propagation speed with a time-step dependent diffusion term. We show the performance of the method by comparing it with standard (deterministic) approaches in the literature

On the stability of periodic orbits in delay equations with large delay

We prove a necessary and sufficient criterion for the exponential stability of periodic solutions of delay differential equations with large delay. We show that for sufficiently large delay the Floquet spectrum near criticality is characterized by a set of curves, which we call asymptotic continuous spectrum, that is independent on the delay.Comment: postprint versio

An equation-free computational approach for extracting population-level behavior from individual-based models of biological dispersal

The movement of many organisms can be described as a random walk at either or both the individual and population level. The rules for this random walk are based on complex biological processes and it may be difficult to develop a tractable, quantitatively-accurate, individual-level model. However, important problems in areas ranging from ecology to medicine involve large collections of individuals, and a further intellectual challenge is to model population-level behavior based on a detailed individual-level model. Because of the large number of interacting individuals and because the individual-level model is complex, classical direct Monte Carlo simulations can be very slow, and often of little practical use. In this case, an equation-free approach may provide effective methods for the analysis and simulation of individual-based models. In this paper we analyze equation-free coarse projective integration. For analytical purposes, we start with known partial differential equations describing biological random walks and we study the projective integration of these equations. In particular, we illustrate how to accelerate explicit numerical methods for solving these equations. Then we present illustrative kinetic Monte Carlo simulations of these random walks and show a decrease in computational time by as much as a factor of a thousand can be obtained by exploiting the ideas developed by analysis of the closed form PDEs. The illustrative biological example here is chemotaxis, but it could be any random walker which biases its movement in response to environmental cues.Comment: 30 pages, submitted to Physica