An exponential timestepping algorithm for diffusion with discontinuous coefficients
Résumé
We present a new Monte Carlo algorithm to simulate diffusion processes in presence of discontinuous convective and diffusive terms. The algorithm is based on the knowledge of close form analytic expressions of the resolvents of the diffusion processes which are usually easier to obtain than close form analytic expressions of the density. In the particular case of diffusion processes with piecewise constant coefficients, known as Skew Diffusions, such close form expressions for the resolvent are available. Then we apply our algorithm to this particular case and we show that the approximate densities of the particles given by the algorithm replicate well the particularities of the true densities (discontinuities, bimodality, ...) Besides, numerical experiments show a quick convergence.
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