Simulation of a stochastic process in a discontinuous layered media

Antoine Lejay 1, 2
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : In this note, we provide a simulation algorithm for a diffusion process in a layered media. Our main tools are the properties of the Skew Brownian motion and a path decomposition technique for simulating occupation times.
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https://hal.inria.fr/inria-00583127
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Submitted on : Wednesday, November 30, 2011 - 5:49:45 PM
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Antoine Lejay. Simulation of a stochastic process in a discontinuous layered media. Electronic Communications in Probability, Institute of Mathematical Statistics (IMS), 2011, 16, pp.764-774. ⟨inria-00583127v4⟩

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