Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift

DOI10.1051/ps/2013053zbMath1315.65008arXiv1301.3019OpenAlexW2009082544MaRDI QIDQ5174375

Miguel Martinez, Pierre Étoré

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3019

zbMATH Keywords

algorithmconvergencenumerical exampleslocal timeskew Brownian motionone-dimensional diffusionsystem of stochastic differential equationsBrownian motion with two-valued driftexact simulation methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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