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Simulation of a stochastic process in a discontinuous layered medium


 
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1. Title Title of document Simulation of a stochastic process in a discontinuous layered medium
 
2. Creator Author's name, affiliation, country Antoine Lejay; INRIA; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Skew Brownian motion, discontinuous media, occupation time, local time, last passage time, path decomposition, Brownian bridge, first hitting time, geophysics, Monte Carlo simulation
 
3. Subject Subject classification 60J60, 65C05
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) ANR SIMUDMRI
 
7. Date (YYYY-MM-DD) 2011-11-30
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1686
 
10. Identifier Digital Object Identifier 10.1214/ECP.v16-1686
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 16
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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