Simulation of a stochastic process in a discontinuous layered medium

DOI10.1214/ECP.V16-1686MaRDI QIDQ428716zbMATH OpenFDO

Authors Antoine Lejay

Publication date 22 June 2012

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/ECP.V16-1686

zbMATH Keywords

Brownian Bridgediscontinuous mediafirst hitting timegeophysicslast passage timelocal timeMonte Carlo simulationoccupation timepath decompositionskew Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Monte Carlo methods (65C05)

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(14)

• Probabilistic domain decomposition for the solution of the two-dimensional magnetotelluric problem
• Statistical estimation of the oscillating Brownian motion
• A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers
• On the possibility of track length based Monte-Carlo algorithms for stationary drift-diffusion systems with sources and sinks
• Stochastic finite differences for elliptic diffusion equations in stratified domains
• An Euler-Maruyama method for diffusion equations with discontinuous coefficients and a family of interface conditions
• A partially reflecting random walk on spheres algorithm for electrical impedance tomography
• Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Simulating a diffusion on a graph. Application to reservoir engineering
• Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
• Slow crossing of a stochastic layer
• Simulating diffusions with piecewise constant coefficients using a kinetic approximation
• On random walk simulation of one-dimensional diffusion processes with discontinuous coeffi\-cients

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