Simulating diffusions with piecewise constant coefficients using a kinetic approximation
From MaRDI portal
Publication:658805
DOI10.1016/j.cma.2010.03.002zbMath1231.76241MaRDI QIDQ658805
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
Monte Carlo method; stochastic process; discontinuous media; divergence-form operator; kinetic approximation
Related Items
Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics, Probabilistic domain decomposition for the solution of the two-dimensional magnetotelluric problem, A partially reflecting random walk on spheres algorithm for electrical impedance tomography
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The COUPLEX test cases: nuclear waste disposal simulation
- A finite volume scheme for the transport of radionucleides in porous media
- On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients
- Computing the principal eigenvalue of the Laplace operator by a stochastic method
- Computing the principal eigenelements of some linear operators using a branching Monte Carlo method
- Simulation of diffusions by means of importance sampling paradigm
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Diffusion models for population dynamics incorporating individual behavior at boundaries: Applications to refuge design
- Simulation of a space-time bounded diffusion
- A Feynman-Kac path-integral implementation for Poisson's equation using an \(h\)-conditioned Green's function
- A random walk on rectangles algorithm
- A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
- Discretization of one-dimensional stochastic differential equations whose generators are divergence form with a discontinuous coefficient
- Some Continuous Monte Carlo Methods for the Dirichlet Problem
- On a Monte Carlo method for neutron transport criticality computations
- A note on some new perpetuities
- Nonparametric Density Estimation for Randomly Perturbed Elliptic Problems I: Computational Methods, A Posteriori Analysis, and Adaptive Error Control
- Nonparametric density estimation for randomly perturbed elliptic problems II: Applications and adaptive modeling
- Biased movement at a boundary and conditional occupancy times for diffusion processes
- The Diffusion Limit of Transport Equations Derived from Velocity-Jump Processes
- Monte Carlo Methods for Calculating Some Physical Properties of Large Molecules
- Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics
- A Donsker theorem to simulate one-dimensional processes with measurable coefficients
- A Generalized Taylor–Aris Formula and Skew Diffusion
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
