Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10356485 | Journal of Computational Physics | 2012 | 16 Pages |
Abstract
In this article, we propose new Monte Carlo techniques for moving a diffusive particle in a discontinuous media. In this framework, we characterize the stochastic process that governs the positions of the particle. The key tool is the reduction of the process to a Skew Brownian motion (SBM). In a zone where the coefficients are locally constant on each side of the discontinuity, the new position of the particle after a constant time step is sampled from the exact distribution of the SBM process at the considered time. To do so, we propose two different but equivalent algorithms: a two-steps simulation with a stop at the discontinuity and a one-step direct simulation of the SBM dynamic. Some benchmark tests illustrate their effectiveness.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science Applications
Authors
Antoine Lejay, Géraldine Pichot,