Simulating diffusions with piecewise constant coefficients using a kinetic approximation

DOI10.1016/j.cma.2010.03.002zbMath1231.76241OpenAlexW2000642675MaRDI QIDQ658805

Sylvain Maire, Antoine Lejay

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

zbMATH Keywords

Monte Carlo methodstochastic processdiscontinuous mediadivergence-form operatorkinetic approximation

Mathematics Subject Classification ID

Diffusion (76R50) Stochastic analysis applied to problems in fluid mechanics (76M35)

Related Items (4)

A partially reflecting random walk on spheres algorithm for electrical impedance tomography ⋮ Probabilistic domain decomposition for the solution of the two-dimensional magnetotelluric problem ⋮ Stochastic finite differences for elliptic diffusion equations in stratified domains ⋮ Probabilistic interpretation and random walk on spheres algorithms for the Poisson-Boltzmann equation in molecular dynamics

Uses Software

• COUPLEX

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

This page was built for publication: Simulating diffusions with piecewise constant coefficients using a kinetic approximation