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| HAL : inria-00092428, version 1 |
| Voir la fiche détaillée |  BibTeX,EndNote,... |
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| Monte Carlo Methods and Applications 9, 3 (2003) 241-255 |
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| Simulating a diffusion on a graph. Application to reservoir engineering |
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| Antoine Lejay 1, 2 |
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| (2003) |
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| We develop a simple Monte Carlo method to compute the position at a given time of a diffusion on a graph, with constant speed on each edge. This method is exact, and we claim it could be used for simulating the position of a particle in a fissured media. Besides, we advocate that the notion of diffusions on graphs could be useful to understand the behavior of one-dimensional diffusions whose infinitesimal generator has piecewise constant coefficients. |
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| 1 : | Institut Elie Cartan Nancy (IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine |
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| 2 : | OMEGA (INRIA Sophia Antipolis / INRIA Lorraine / IECN) |
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CNRS : UMR7502 – INRIA – Université Henri Poincaré - Nancy I – Université Nancy II |
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| Domaine | : | Mathématiques/Probabilités Mathématiques/Analyse numérique |
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| diffusion on graphs – skew brownian motion – one-dimensional diffusion processes – Monte Carlo methods |
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| Liste des fichiers attachés à ce document : | |||||
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| inria-00092428, version 1 | |
| http://hal.inria.fr/inria-00092428 | |
| oai:hal.inria.fr:inria-00092428 | |
| Contributeur : Antoine Lejay | |
| Soumis le : Dimanche 10 Septembre 2006, 18:18:46 | |
| Dernière modification le : Lundi 11 Septembre 2006, 10:28:22 | |
