Exact Simulation of Brownian Diffusions with Drift Admitting Jumps

DOI10.1137/16M107699XzbMath1370.60113arXiv1605.08275MaRDI QIDQ5738175

Sylvie Roelly, Sara Mazzonetto, David Dereudre

Publication date: 31 May 2017

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.08275

zbMATH Keywords

skew Brownian motiondiscontinuous driftskew diffusionsexact simulation methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Multilayer heat equations and their solutions via oscillating integral transforms ⋮ Approximation for non-smooth functionals of stochastic differential equations with irregular drift ⋮ Diagonalization of 1-D differential operators with piecewise constant coefficients using the uncertainty principle ⋮ Extreme at-the-money skew in a local volatility model ⋮ Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients ⋮ An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers

Cites Work

• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
• A factorisation of diffusion measure and finite sample path constructions
• On skew Brownian motion
• Exact simulation of diffusions
• On the uniqueness of solutions of stochastic differential equations
• Retrospective exact simulation of diffusion sample paths with applications
• Multi-skewed Brownian motion and diffusion in layered media
• Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
• Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
• Exact sampling of diffusions with a discontinuity in the drift
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Exact Simulation of Brownian Diffusions with Drift Admitting Jumps