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Exact Simulation of Brownian Diffusions with Drift Admitting Jumps - MaRDI portal

Exact Simulation of Brownian Diffusions with Drift Admitting Jumps (Q5738175)

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scientific article; zbMATH DE number 6724616
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English
Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
scientific article; zbMATH DE number 6724616

    Statements

    title
    Exact Simulation of Brownian Diffusions with Drift Admitting Jumps (English)
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    author
    David Dereudre
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    Sara Mazzonetto
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    Sylvie Roelly
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    publication date
    31 May 2017
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    zbMATH Keywords
    exact simulation methods
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    skew Brownian motion
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    skew diffusions
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    discontinuous drift
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    Identifiers

    DOI
    10.1137/16M107699X
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    Mathematics Subject Classification ID
    60H35
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    60H10
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    60J60
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    60J65
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    65C30
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    65C05
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    68U20
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    zbMATH DE Number
    6724616
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    arXiv ID
    1605.08275
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