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A probabilistic interpretation of the transmission conditions using the Skew Brownian motion
Abstract : In order to solve with a Monte Carlo method a parabolic (or elliptic) PDE with a transmission condition, we need to understand the behavior of the stochastic process when it reaches a point where this tranmission condition holds. In this article, we show that a process called the Skew Brownian motion can be helpful to understand how to deal with this kind of problem in a one-dimensional media.
Cited literature [24 references]
https://hal.inria.fr/inria-00092418
Contributor : Antoine Lejay Connect in order to contact the contributor
Submitted on : Sunday, September 10, 2006 - 10:07:35 AM
Last modification on : Friday, February 4, 2022 - 3:23:02 AM
Long-term archiving on: : Tuesday, April 6, 2010 - 12:52:02 AM
Contributor : Antoine Lejay Connect in order to contact the contributor
Submitted on : Sunday, September 10, 2006 - 10:07:35 AM
Last modification on : Friday, February 4, 2022 - 3:23:02 AM
Long-term archiving on: : Tuesday, April 6, 2010 - 12:52:02 AM