Study of a Brownian impulse
成果类型：
Article
署名作者：
Mézières, S; Roynette, B
署名单位：
Universite de Lorraine
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2000
页码：
493-516
关键词：
摘要：
This paper is concerned with the simulation of a a-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.