Provided is a method of connecting an austenitic steel pipe with a ferritic steel pipe. The method comprises providing the austenitic steel pipe and the ferritic steel pipe, such that an inner end section of the austenitic steel pipe has an outer diameter smaller than an inner diameter of an outer section of the ferritic steel pipe, inserting the inner end section into the outer end section, such that the inner and outer end sections overlap in a connection region, and welding the inner and outer end sections in the connection region by explosive welding or magnetic pulse welding. Further, a linear quench exchanger and a processing arrangement for processing a process fluid are provided.