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Simulation of a stochastic process in a discontinuous layered medium

   
@article{ECP1686,
	author = {Antoine Lejay},
	title = {Simulation of a stochastic process in a discontinuous layered medium},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {16},
	year = {2011},
	keywords = {Skew Brownian motion, discontinuous media,  occupation time, local time, last passage time, path decomposition, Brownian bridge, first hitting time, geophysics, Monte Carlo simulation},
	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.},
	pages = {no. 67, 764-774},
	issn = {1083-589X},
	doi = {10.1214/ECP.v16-1686},    
        url = {http://ecp.ejpecp.org/article/view/1686}}