Study of a Brownian impulse
Méziàres, Sophie ; Roynette, Bernard
Ann. Appl. Probab., Tome 10 (2000) no. 2, p. 493-516 / Harvested from Project Euclid
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This paper is concerned with the simulation of a 2-dimensional stochastic differential equation motivated by some physical phenomena of fluid mechanics. The drift and diffusion coefficients of the equation admitting local singularities, we are led to study a particular term of strong perturbation denoted by “Brownian impulse.” Our suggestion for the simulation is to replace the singularity by a jump on which our study therefore focuses.
Publié le : 2000-05-14
Classification:  Stochastic differential equation,  descretization scheme for simulation,  60H10,  65C20,  65U05 
@article{1019487352,
     author = {M\'ezi\`ares, Sophie and Roynette, Bernard},
     title = {Study of a Brownian impulse},
     journal = {Ann. Appl. Probab.},
     volume = {10},
     number = {2},
     year = {2000},
     pages = { 493-516},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1019487352}
}

Méziàres, Sophie; Roynette, Bernard. Study of a Brownian impulse. Ann. Appl. Probab., Tome 10 (2000) no. 2, pp.  493-516. http://gdmltest.u-ga.fr/item/1019487352/