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Simulating a diffusion on a graph. Application to reservoir engineering

Antoine Lejay 1, 2
2 OMEGA - Probabilistic numerical methods
CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : We develop a simple Monte Carlo method to compute the position at a given time of a diffusion on a graph, with constant speed on each edge. This method is exact, and we claim it could be used for simulating the position of a particle in a fissured media. Besides, we advocate that the notion of diffusions on graphs could be useful to understand the behavior of one-dimensional diffusions whose infinitesimal generator has piecewise constant coefficients.
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Submitted on : Sunday, September 10, 2006 - 6:18:46 PM
Last modification on : Friday, February 4, 2022 - 3:22:29 AM
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  • HAL Id : inria-00092428, version 1



Antoine Lejay. Simulating a diffusion on a graph. Application to reservoir engineering. Monte Carlo Methods and Applications, De Gruyter, 2003, 9 (3), pp.241-255. ⟨inria-00092428⟩



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