Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
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Publication:2446752
DOI10.1016/J.JCP.2012.07.011zbMATH Open1284.65007OpenAlexW2006859976MaRDI QIDQ2446752FDOQ2446752
Authors: Antoine Lejay, G. 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
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Monte Carlo simulationstochastic differential equationEuler schemegeophysicsskew Brownian motiondivergence form operatorsdiffusive media with interfaces
Monte Carlo methods (65C05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion (76R50)
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Cited In (38)
- Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
- Modeling the diffusion of heat energy within composites of homogeneous materials using the uncertainty principle
- Random walks with negative particles for discontinuous diffusion and porosity
- Simulating a diffusion on a graph. Application to reservoir engineering
- A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers
- Diagonalization of 1-D differential operators with piecewise constant coefficients using the uncertainty principle
- Modeling diffusion in one dimensional discontinuous media under generalized permeable interface conditions: theory and algorithms
- On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
- First hitting times for doubly skewed Ornstein-Uhlenbeck processes
- On the local time process of a skew Brownian motion
- On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
- Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
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- Weak Approximation for a Black-Scholes Type Regime Switching Model
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- A partially reflecting random walk on spheres algorithm for electrical impedance tomography
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- Is a Brownian Motion Skew?
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