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Simulating a diffusion on a graph. Application to reservoir engineering

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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)

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.

Suggested Citation

  • Lejay Antoine, 2003. "Simulating a diffusion on a graph. Application to reservoir engineering," Monte Carlo Methods and Applications, De Gruyter, vol. 9(3), pages 241-255, September.
    • Handle: RePEc:bpj:mcmeap:v:9:y:2003:i:3:p:241-255:n:5
    DOI: 10.1515/156939603322729003
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