New Monte Carlo schemes for simulating diffusions in discontinuous media

DOI10.1016/J.CAM.2012.12.013zbMath1307.65004OpenAlexW1983478657MaRDI QIDQ1947493

Antoine Lejay, Sylvain Maire

Publication date: 22 April 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.12.013

zbMATH Keywords

Monte Carlo methodfinite differencesskew Brownian motiondiffusion in discontinuous media

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Finite difference methods applied to problems in fluid mechanics (76M20) Diffusion processes (60J60) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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