Simulating a diffusion on a graph. Application to reservoir engineering

Lejay Antoine ()
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Lejay Antoine: INRIA / Institut Élie Cartan, Campus scientifique, B.P. 239; 54506 Vandœuvre-lès-Nancy CEDEX; France. E-mail: Antoine.Lejay@iecn.u-nancy.fr

Monte Carlo Methods and Applications, 2003, vol. 9, issue 3, 241-255

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.

Date: 2003
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DOI: 10.1515/156939603322729003

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