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Journal Articles Monte Carlo Methods and Applications Year : 2003

Simulating a diffusion on a graph. Application to reservoir engineering

Abstract

We develop a simple Monte Carlo method to compute the position at a given time of a diffusion on a graph, with constant speed on each edge. This method is exact, and we claim it could be used for simulating the position of a particle in a fissured media. Besides, we advocate that the notion of diffusions on graphs could be useful to understand the behavior of one-dimensional diffusions whose infinitesimal generator has piecewise constant coefficients.
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Dates and versions

inria-00092428 , version 1 (10-09-2006)

Identifiers

  • HAL Id : inria-00092428 , version 1

Cite

Antoine Lejay. Simulating a diffusion on a graph. Application to reservoir engineering. Monte Carlo Methods and Applications, 2003, 9 (3), pp.241-255. ⟨inria-00092428⟩
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