On random walk simulation of one-dimensional di usion processes with discontinuous coe cients
نویسنده
چکیده
In this paper, we provide a scheme for simulating one-dimensional processes generated by divergence or non-divergence form operators with discontinuous coe cients. We use a space bijection to transform such a process in another one that behaves locally like a Skew Brownian motion. Indeed the behavior of the Skew Brownian motion can easily be approached by an asymmetric random walk.
منابع مشابه
On di!usion approximation with discontinuous coe$cients
Convergence of stochastic processes with jumps to di!usion processes is investigated in the case when the limit process has discontinuous coe$cients. An example is given in which the diffusion approximation of a queueing model yields a di!usion process with discontinuous di!usion and drift coe$cients. c © 2002 Elsevier Science B.V. All rights reserved. MSC: 60B10; 60K25
متن کاملNonsymmetric Black Box multigrid with coarsening by three
The classical Petrov-Galerkin approach to Black Box multigrid for nonsymmetric problems due to Dendy is combined with the recent factor-three-coarsening Black Box algorithm due to Dendy and Moulton, along with a powerful symmetric line Gauss-Seidel smoother, resulting in an e cient and robust multigrid solver. Focusing on the convectiondi usion operator, the algorithm is tested and shown to ach...
متن کاملForward – backward stochastic di erential equations with nonsmooth coe cients
Solvability of forward–backward stochastic di erential equations with nonsmooth coe cients is considered using the Four-Step Scheme and some approximation arguments. For the onedimensional case, the existence of an adapted solution is established for the equation which allows the di usion in the forward equation to be degenerate. As a byproduct, we obtain the existence of a viscosity solution t...
متن کاملStochastic Collocation Methods for Nonlinear Parabolic Equations with Random Coe cients⇤
We evaluate the performance of global stochastic collocation methods for solving nonlinear parabolic and elliptic problems (e.g., transient and steady nonlinear di↵usion) with random coe cients. The robustness of these and other strategies based on a spectral decomposition of stochastic state variables depends on the regularity of the system’s response in outcome space. The latter is a↵ected by...
متن کاملTransmitter Concentration Pro les in the Synaptic Cleft: An Analytical Model of Release and Di usion
A three-dimensional model for release and di usion of glutamate in the synaptic cleft was developed and solved analytically. The model consists of a source function describing transmitter release from the vesicle and a di usion function describing the spread of transmitter in the cleft. Concentration pro les of transmitter at the postsynaptic side were calculated for di erent transmitter concen...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006