Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
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Cited in
(38)- Simulation of diffusion processes in axisymmetric inhomogeneous media
- Weak Approximation for a Black-Scholes Type Regime Switching Model
- An exponential timestepping algorithm for diffusion with discontinuous coefficients
- The narrow escape problem in a circular domain with radial piecewise constant diffusivity
- Diffusion across semi-permeable barriers: spectral properties, efficient computation, and applications
- On the local time process of a skew Brownian motion
- Mean-field stochastic differential equations with a discontinuous diffusion coefficient
- Extreme at-the-money skew in a local volatility model
- Simulation of a stochastic process in a discontinuous layered medium
- Simulating diffusion processes in discontinuous media: benchmark tests
- Modeling the diffusion of heat energy within composites of homogeneous materials using the uncertainty principle
- Hitting times for sticky skew CIR process
- On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
- Two consistent estimators for the skew Brownian motion
- A partially reflecting random walk on spheres algorithm for electrical impedance tomography
- Modeling diffusion in one dimensional discontinuous media under generalized permeable interface conditions: theory and algorithms
- Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
- New Monte Carlo schemes for simulating diffusions in discontinuous media
- Random walks with negative particles for discontinuous diffusion and porosity
- The snapping out Brownian motion
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions
- First hitting times for doubly skewed Ornstein-Uhlenbeck processes
- A general framework to simulate diffusions with discontinuous coefficients and local times
- Dynamics of lattice random walk within regions composed of different media and interfaces
- Simulating a diffusion on a graph. Application to reservoir engineering
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- Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
- Is a Brownian Motion Skew?
- On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
- Asymmetric diffusion in heterogeneous media
- A Markov chain approximation scheme for option pricing under skew diffusions
- Numerical approximation of irregular SDEs via Skorokhod embeddings
- Statistical estimation of the oscillating Brownian motion
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- 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
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