Exact simulation for solutions of one-dimensional stochastic differential equations with discontinuous drift (Q5174375)
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scientific article; zbMATH DE number 6405013
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| English | Exact simulation for solutions of one-dimensional stochastic differential equations with discontinuous drift |
scientific article; zbMATH DE number 6405013 |
Statements
Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift (English)
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17 February 2015
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exact simulation methods
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Brownian motion with two-valued drift
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one-dimensional diffusion
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skew Brownian motion
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local time
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numerical examples
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algorithm
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system of stochastic differential equations
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convergence
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0.8218644261360168
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0.8078263998031616
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0.8077507615089417
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0.7913725972175598
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0.7767899036407471
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