Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
From MaRDI portal
Publication:2446752
DOI10.1016/j.jcp.2012.07.011zbMath1284.65007MaRDI 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
stochastic differential equation; Monte Carlo simulation; Euler scheme; geophysics; skew Brownian motion; divergence form operators; diffusive media with interfaces
65C05: Monte Carlo methods
76R50: Diffusion
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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