Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps

DOI10.1016/j.jcp.2012.07.011zbMath1284.65007OpenAlexW2006859976MaRDI QIDQ2446752

Antoine Lejay, Géraldine Pichot

Publication date: 22 April 2014

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-00649170/file/lejay_pichot_2011_v2.pdf

zbMATH Keywords

stochastic differential equationMonte Carlo simulationEuler schemegeophysicsskew Brownian motiondivergence form operatorsdiffusive media with interfaces

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion (76R50) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (27)

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Uses Software

• exitbm

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