Abstract
We briefly review the principles, mathematical bases, numerical shortcuts and applications of fast random walk (FRW) algorithms. This Monte Carlo technique allows one to simulate individual trajectories of diffusing particles in order to study various probabilistic characteristics (harmonic measure, first passage/exit time distribution, reaction rates, search times and strategies, etc.) and to solve the related partial differential equations. The adaptive character and flexibility of FRWs make them particularly efficient for simulating diffusive processes in porous, multiscale, heterogeneous, disordered or irregularly-shaped media.
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