Simulating diffusions with piecewise con
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Antoine Lejay; Sylvain Maire
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Article
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2010
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Elsevier Science
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English
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Using a kinetic approximation of a linear diffusion operator, we propose an algorithm that allows one to deal with the simulation of a multi-dimensional stochastic process in a media which is locally isotropic except on some surface where the diffusion coefficient presents some discontinuities. Basi