Weak Approximation for a Black-Scholes Type Regime Switching Model (Q6671994): Difference between revisions

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+Corrections: occupation and local times for skew Brownian motion with applications to dispersion across an interface
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+Skew disperson and continuity of local time
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+Exact simulation of diffusions
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+Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients
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+SELF EXCITING THRESHOLD INTEREST RATES MODELS
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+An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
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+Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
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+A general framework to simulate diffusions with discontinuous coefficients and local times
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+A Markov chain approximation scheme for option pricing under skew diffusions
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+Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
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+Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
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+On the weak approximation of a skew diffusion by an Euler-type scheme
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+DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
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+The laws of Brownian local time integrals
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+On skew Brownian motion
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+Multilayer heat equations and their solutions via oscillating integral transforms
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+The parametrix method for skew diffusions
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+On the constructions of the skew Brownian motion
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+An exponential timestepping algorithm for diffusion with discontinuous coefficients
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+Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
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+A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
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+Maximum likelihood estimator for skew Brownian motion: the convergence rate
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+Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps
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+Multi-skewed Brownian motion and diffusion in layered media
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+Quasi-likelihood estimation of a threshold diffusion process
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