Grid-free simulation of diffusion using random walk methods

The simulation of the diffusion of a continuum field by the random walk (RW) displacement of a set of particles is considered. Elements of the gradients of the diffusive concentration are transported by computational particles. It is demonstrated that, by the use of concentration gradients in the RW process, statistical errors are reduced and each realization of the numerical solution is a representation of the exact solution. The algorithm is grid-free, and the computational elements move to follow the gradients; hence, the algorithm is self-adaptive, and uniform resolution is achieved for all times.