New Monte Carlo schemes for simulating diffusions in discontinuous media - Inria - Institut national de recherche en sciences et technologies du numérique Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2012

New Monte Carlo schemes for simulating diffusions in discontinuous media

Résumé

We introduce new Monte Carlo simulation schemes for diffusions in a discontinuous media divided in subdomains with piecewise constant diffusivity. These schemes are higher order extensions of the usual schemes and take into account the two dimensional aspects of the diffusion at the interface between subdomains. This is achieved using either stochastic processes techniques or an approach based on finite differences. Numerical tests on elliptic, parabolic and eigenvalue problems involving an operator in divergence form show the efficiency of these new schemes.
Fichier principal
Vignette du fichier
lejay_maire.pdf (632.96 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00689581 , version 1 (19-04-2012)
hal-00689581 , version 2 (28-04-2012)
hal-00689581 , version 3 (14-11-2012)
hal-00689581 , version 4 (14-12-2012)

Identifiants

  • HAL Id : hal-00689581 , version 2

Citer

Antoine Lejay, Sylvain Maire. New Monte Carlo schemes for simulating diffusions in discontinuous media. 2012. ⟨hal-00689581v2⟩
598 Consultations
442 Téléchargements

Partager

Gmail Facebook X LinkedIn More