A Scheme for Simulating One-dimensional Diffusion Processes with Discontinuous Coefficients
نویسنده
چکیده
The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the diffusion processes, but uses instead an exact description of the behavior of their trajectories when they reach the points of discontinuity. This description is supplied with the local comparison of the trajectories of the diffusion processes with those of a skew Brownian motion.
منابع مشابه
A High Order Approximation of the Two Dimensional Acoustic Wave Equation with Discontinuous Coefficients
This paper concerns with the modeling and construction of a fifth order method for two dimensional acoustic wave equation in heterogenous media. The method is based on a standard discretization of the problem on smooth regions and a nonstandard method for nonsmooth regions. The construction of the nonstandard method is based on the special treatment of the interface using suitable jump conditio...
متن کاملInverse Problem for a Coupled Parabolic System with Discontinuous Conductivities: One-dimensional Case
We study the inverse problem of the simultaneous identification of two discontinuous diffusion coefficients for a one-dimensional coupled parabolic system with the observation of only one component. The stability result for the diffusion coefficients is obtained by a Carleman-type estimate. Results from numerical experiments in the one-dimensional case are reported, suggesting that the method m...
متن کاملOn random walk simulation of one-dimensional di usion processes with discontinuous coe cients
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.
متن کاملOn Diffusion Approximation with Discontinuous Coefficients
Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a diffusion process with discontinuous diffusion and drift coefficients.
متن کاملApproximation of stochastic advection diffusion equations with finite difference scheme
In this paper, a high-order and conditionally stable stochastic difference scheme is proposed for the numerical solution of $rm Ithat{o}$ stochastic advection diffusion equation with one dimensional white noise process. We applied a finite difference approximation of fourth-order for discretizing space spatial derivative of this equation. The main properties of deterministic difference schemes,...
متن کامل