Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process (Q4915855)

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scientific article; zbMATH DE number 6153579
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Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
scientific article; zbMATH DE number 6153579

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    Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process (English)
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    12 April 2013
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    exact simulation methods
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    skew Brownian motion
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    local time
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    one-dimensional diffusion
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    stochastic differential equations
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    discontinuous coefficient
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    numerical examples
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