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Conference Papers Year : 2004

A probabilistic interpretation of the transmission conditions using the Skew Brownian motion

Abstract

In order to solve with a Monte Carlo method a parabolic (or elliptic) PDE with a transmission condition, we need to understand the behavior of the stochastic process when it reaches a point where this tranmission condition holds. In this article, we show that a process called the Skew Brownian motion can be helpful to understand how to deal with this kind of problem in a one-dimensional media.
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Dates and versions

inria-00092418 , version 1 (10-09-2006)

Identifiers

  • HAL Id : inria-00092418 , version 1

Cite

Antoine Lejay. A probabilistic interpretation of the transmission conditions using the Skew Brownian motion. Multi Scale problems and asymptotic analysis - Narvik Midnight Sun Conference 2004, European Research Training Network Homogenization and Multiple Scales (HMS2000)., 2004, Narvik Norvège. ⟨inria-00092418⟩
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