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| HAL : inria-00358003, version 4 |
| Voir la fiche détaillée |  BibTeX,EndNote,... |
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| Computer Methods in Applied Mechanics and Engineering 199, 29-32 (2010) 2014-2023 |
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| Versions disponibles | v1 (02-02-2009) | v2 (02-10-2009) | v3 (11-03-2010) | v4 (23-03-2010) |
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| Simulating diffusions with piecewise constant coefficients using a kinetic approximation |
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| Antoine Lejay 1, 2Sylvain Maire 2, 3 |
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| (2010) |
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| 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. |
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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 : | TOSCA (INRIA Sophia Antipolis / INRIA Lorraine / IECN) |
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INRIA – CNRS : UMR7502 – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine |
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| 3 : | Modélisation Numérique et Couplages (MNC) |
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Université Sud Toulon Var |
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| Probabilités et statistique |
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| Domaine | : | Mathématiques/Probabilités |
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| Discontinuous media – divergence-form operator – stochastic process – kinetic approximation – Monte Carlo methods |
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| inria-00358003, version 4 | |
| http://hal.inria.fr/inria-00358003 | |
| oai:hal.inria.fr:inria-00358003 | |
| Contributeur : Antoine Lejay | |
| Soumis le : Mardi 23 Mars 2010, 18:04:45 | |
| Dernière modification le : Mardi 23 Novembre 2010, 16:47:45 | |
