Electronic Communications in Probability

Simulation of a stochastic process in a discontinuous layered medium

Antoine Lejay

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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.

Article information

Electron. Commun. Probab., Volume 16 (2011), paper no. 67, 764-774.

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

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60J60: Diffusion processes [See also 58J65]
Secondary: 65C05: Monte Carlo methods

Skew Brownian motion discontinuous media occupation time local time last passage time path decomposition Brownian bridge first hitting time geophysics Monte Carlo simulation

This work is licensed under aCreative Commons Attribution 3.0 License.


Lejay, Antoine. Simulation of a stochastic process in a discontinuous layered medium. Electron. Commun. Probab. 16 (2011), paper no. 67, 764--774. doi:10.1214/ECP.v16-1686. https://projecteuclid.org/euclid.ecp/1465262023

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