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2011 Simulation of a stochastic process in a discontinuous layered medium
Antoine Lejay
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Electron. Commun. Probab. 16: 764-774 (2011). DOI: 10.1214/ECP.v16-1686

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.

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Antoine Lejay. "Simulation of a stochastic process in a discontinuous layered medium." Electron. Commun. Probab. 16 764 - 774, 2011. https://doi.org/10.1214/ECP.v16-1686

Information

Accepted: 30 November 2011; Published: 2011
First available in Project Euclid: 7 June 2016

zbMATH: 1243.60062
MathSciNet: MR2861440
Digital Object Identifier: 10.1214/ECP.v16-1686

Subjects:
Primary: 60J60
Secondary: 65C05

Keywords: Brownian bridge , discontinuous media , First hitting time , geophysics , last passage time , Local time , Monte Carlo simulation , occupation time , Path decomposition , skew Brownian motion

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