Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
From MaRDI portal
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Brownian motion (60J65) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: In this paper, using an algorithm based on the retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps, providing numerical simulations. Our main contribution is to manage the technical diffculty due to the presence of two jumps thanks to a new explicit expression of the transition density of the skew Brownian motion with two semipermeable barriers and a constant drift.
Recommendations
- Exact simulation problems for jump-diffusions
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Exact simulation of diffusions
- Towards the exact simulation using hyperbolic Brownian motion
- Exact simulation for solutions of one-dimensional stochastic differential equations with discontinuous drift
- Exact simulation of Bessel diffusions
- On the exact and -strong simulation of (jump) diffusions
- Localization and exact simulation of Brownian motion-driven stochastic differential equations
- Exact simulation of the first passage time through a given level of jump diffusions
- Exact simulation of multidimensional reflected Brownian motion
Cites work
- A factorisation of diffusion measure and finite sample path constructions
- An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
- Exact sampling of diffusions with a discontinuity in the drift
- Exact simulation for solutions of one-dimensional stochastic differential equations with discontinuous drift
- Exact simulation of diffusions
- Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 4140971 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 3206627 (Why is no real title available?)
- Multi-skewed Brownian motion and diffusion in layered media
- On skew Brownian motion
- On the uniqueness of solutions of stochastic differential equations
- Retrospective exact simulation of diffusion sample paths with applications
Cited in
(13)- Towards the exact simulation using hyperbolic Brownian motion
- Diagonalization of 1-D differential operators with piecewise constant coefficients using the uncertainty principle
- Multilayer heat equations and their solutions via oscillating integral transforms
- A note on the exact simulation of spherical Brownian motion
- Extreme at-the-money skew in a local volatility model
- Approximation for non-smooth functionals of stochastic differential equations with irregular drift
- An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
- On the exact and -strong simulation of (jump) diffusions
- Exact simulation of Bessel diffusions
- Exact sampling of jump diffusions
- Exact simulation for solutions of one-dimensional stochastic differential equations with discontinuous drift
- Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
- Weak Approximation for a Black-Scholes Type Regime Switching Model
This page was built for publication: Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5738175)
