Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
From MaRDI portal
Publication:4915855
DOI10.1515/MCMA-2013-0002zbMATH Open1269.65007arXiv1102.2565OpenAlexW2035182577MaRDI QIDQ4915855
Author name not available (Why is that?)
Publication date: 12 April 2013
Published in: (Search for Journal in Brave)
Abstract: In this article we extend the exact simulation methods of Beskos et al. to the solutions of one-dimensional stochastic differential equations involving the local time of the unknown process at point zero. In order to perform the method we compute the law of the skew Brownian motion with drift. The method presented in this article covers the case where the solution of the SDE with local time corresponds to a divergence form operator with a discontinuous coefficient at zero. Numerical examples are shown to illustrate the method and the performances are compared with more traditional discretization schemes.
Full work available at URL: https://arxiv.org/abs/1102.2565
No records found.
No records found.
This page was built for publication: Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4915855)
