A Monte Carlo estimation of the mean residence time in cells surrounded by thin layers

Antoine Lejay

Mathematics and Computers in Simulation (MATCOM), 2018, vol. 143, issue C, 65-77

Abstract: We present a new Monte Carlo method to estimate the mean-residence time of a diffusive particle in a domain surrounded by a thin layer of low diffusivity. Through a homogenization technique, the layer is identified with a membrane. The simulations use a stochastic process called the snapping out Brownian motion the density of which matches suitable transmission conditions at the membrane. We provide a benchmark test which is a simplified form of a real-life problem coming from brain imaging techniques. We also provide a new algorithm to adaptively estimate the exponential rate of the tail of the distribution function of the probability to be in the domain using Monte Carlo simulations.

Keywords: Semi-permeable membrane; Snapping out Brownian motion; Thin layer problem; Mean-residence time; First eigenvalue estimation (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475417302069
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:143:y:2018:i:c:p:65-77

DOI: 10.1016/j.matcom.2017.05.008

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().