Simulating diffusions with piecewise constant coefficients using a kinetic approximation

DOI10.1016/j.cma.2010.03.002zbMath1231.76241MaRDI QIDQ658805

Sylvain Maire, Antoine Lejay

Publication date: 8 February 2012

Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cma.2010.03.002

zbMATH Keywords

Monte Carlo method; stochastic process; discontinuous media; divergence-form operator; kinetic approximation

Mathematics Subject Classification ID

76R50: Diffusion

76M35: Stochastic analysis applied to problems in fluid mechanics

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Uses Software

• COUPLEX

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