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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| English | 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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0.91623735
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0.89666635
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0.8875836
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0.8811707
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0.8786143
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0.8776266
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