A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients

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dc.creatorLejay, Antoine
dc.creatorMartinez, Miguel
dc.date2006-03-09
dc.date.accessioned2026-07-07T07:06:42Z
dc.date.available2026-07-07T07:06:42Z
dc.descriptionThe 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.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051605000000656 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0603214
dc.identifierhttp://arxiv.org/abs/math/0603214
dc.identifierAnnals of Applied Probability 2006, Vol. 16, No. 1, 107-139
dc.identifierdoi:10.1214/105051605000000656
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/110122
dc.subjectProbability
dc.subject60J60 (Primary) 65C (Secondary)
dc.titleA scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
dc.typetext

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