New Monte Carlo schemes for simulating diffusions in discontinuous media

Antoine Lejay 1, 2 Sylvain Maire 2, 3
Abstract : 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.
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https://hal.inria.fr/hal-00689581
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Submitted on : Friday, December 14, 2012 - 3:14:36 PM
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Antoine Lejay, Sylvain Maire. New Monte Carlo schemes for simulating diffusions in discontinuous media. Journal of Computational and Applied Mathematics, Elsevier, 2013, 245 (97-116), ⟨10.1016/j.cam.2012.12.013⟩. ⟨hal-00689581v4⟩

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