Simulating diffusions with piecewise constant coefficients using a kinetic approximationReportar como inadecuado




Simulating diffusions with piecewise constant coefficients using a kinetic approximation - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

1 IECN - Institut Élie Cartan de Nancy 2 TOSCA INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502 3 MNC - Modélisation Numérique et Couplages

Abstract : 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. Numerical examples are given in dimensions one to three on PDEs or stochastic PDEs with or without source terms.

Keywords : Discontinuous media divergence-form operator stochastic process kinetic approximation Monte Carlo methods





Autor: Antoine Lejay - Sylvain Maire -

Fuente: https://hal.archives-ouvertes.fr/



DESCARGAR PDF




Documentos relacionados