A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
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Publication:2494575
DOI10.1214/105051605000000656zbMATH Open1094.60056arXivmath/0603214OpenAlexW2091841927MaRDI QIDQ2494575
Author name not available (Why is that?)
Publication date: 29 June 2006
Published in: (Search for Journal in Brave)
Abstract: The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the diffusion processes, but uses instead an exact description of the behavior of their trajectories when they reach the points of discontinuity. This description is supplied with the local comparison of the trajectories of the diffusion processes with those of a skew Brownian motion.
Full work available at URL: https://arxiv.org/abs/math/0603214
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