Simulating diffusions with piecewise constant coefficients using a kinetic approximation
نویسندگان
چکیده
منابع مشابه
Simulating Diffusions with Piecewise Constant Coefficients Using a Kinetic Approximation
Using a kinetic approximation of a linear diffusion operator, we propose an algorithm that allows one to deal with the simulation of a multi-dimensional stochastic process in a media which is locally isotropic except on some surface where the diffusion coefficient presents some discontinuities. Basic numerical examples are given in dimensions one to three on PDEs or stochastic PDEs with or with...
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ژورنال
عنوان ژورنال: Computer Methods in Applied Mechanics and Engineering
سال: 2010
ISSN: 0045-7825
DOI: 10.1016/j.cma.2010.03.002