2013
DOI: 10.1016/j.cam.2012.12.013
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New Monte Carlo schemes for simulating diffusions in discontinuous media

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Cited by 23 publications
(38 citation statements)
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“…In the last decade, the numerical simulation of diffusion processes with discontinuous coefficients has been the subject of active research, cf., e.g., [25,45,46,47,106,108,110,116,117,120,122]. While the one-dimensional situation is well understood, the question whether there exist exact simulation schemes for the multi-dimensional case is still unsettled.…”
Section: Simulation Of the Interface Behaviormentioning
confidence: 97%
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“…In the last decade, the numerical simulation of diffusion processes with discontinuous coefficients has been the subject of active research, cf., e.g., [25,45,46,47,106,108,110,116,117,120,122]. While the one-dimensional situation is well understood, the question whether there exist exact simulation schemes for the multi-dimensional case is still unsettled.…”
Section: Simulation Of the Interface Behaviormentioning
confidence: 97%
“…The following approximation of (3.18) to simulate Y t+δt from Y t was proposed in [108]: Since the processes X and W (2) are independent, the law of Y t conditioned on Y 0 = y and X follows a Gaussian distribution with mean y and variance…”
Section: Simulation Of the Interface Behaviormentioning
confidence: 99%
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