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May 2000 Study of a Brownian impulse
Sophie Méziàres, Bernard Roynette
Ann. Appl. Probab. 10(2): 493-516 (May 2000). DOI: 10.1214/aoap/1019487352

Abstract

This paper is concerned with the simulation of a 2-dimensional stochastic differential equation motivated by some physical phenomena of fluid mechanics. The drift and diffusion coefficients of the equation admitting local singularities, we are led to study a particular term of strong perturbation denoted by “Brownian impulse.” Our suggestion for the simulation is to replace the singularity by a jump on which our study therefore focuses.

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Sophie Méziàres. Bernard Roynette. "Study of a Brownian impulse." Ann. Appl. Probab. 10 (2) 493 - 516, May 2000. https://doi.org/10.1214/aoap/1019487352

Information

Published: May 2000
First available in Project Euclid: 22 April 2002

MathSciNet: MR1768226
Digital Object Identifier: 10.1214/aoap/1019487352

Subjects:
Primary: 60H10 , 65C20 , 65U05

Keywords: descretization scheme for simulation , Stochastic differential equation

Rights: Copyright © 2000 Institute of Mathematical Statistics

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Vol.10 • No. 2 • May 2000
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