| Título: | Simulation of a stochastic process in a discontinuous layered medium |
| Autores: | Lejay, Antoine; INRIA |
| Fecha: | 2011-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Skew Brownian motion, discontinuous media, occupation time, local time, last passage time, path decomposition, Brownian bridge, first hitting time, geophysics, Monte Carlo simulation 60J60, 65C05 |
| Descripción: | 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. |
| Idioma: | No aplica |
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