Simulation of a stochastic process in a discontinuous layered medium
نویسندگان
چکیده
منابع مشابه
Simulation of a stochastic process in a discontinuous, layered media‡
In this note, we provide a simulation algorithm for a diffusion process in a layered media. Our main tools are the properties of the Skew Brownian motion and a path decomposition technique for simulating occupation times.
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2011
ISSN: 1083-589X
DOI: 10.1214/ecp.v16-1686