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Journal Articles Computer Methods in Applied Mechanics and Engineering Year : 2010

Simulating diffusions with piecewise constant coefficients using a kinetic approximation

Abstract

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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Dates and versions

inria-00358003 , version 1 (02-02-2009)
inria-00358003 , version 2 (02-10-2009)
inria-00358003 , version 3 (10-03-2010)
inria-00358003 , version 4 (23-03-2010)

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Cite

Antoine Lejay, Sylvain Maire. Simulating diffusions with piecewise constant coefficients using a kinetic approximation. Computer Methods in Applied Mechanics and Engineering, 2010, 199 (29-32), pp.2014-2023. ⟨10.1016/j.cma.2010.03.002⟩. ⟨inria-00358003v4⟩
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