A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients

DOI10.1214/105051605000000656zbMath1094.60056arXivmath/0603214OpenAlexW2091841927MaRDI QIDQ2494575

Antoine Lejay, Miguel Martinez

Publication date: 29 June 2006

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603214

zbMATH Keywords

Monte Carlo methodslocal timepiecewise smooth functionsskew Brownian motiondivergence form operatorspeed measureone-dimensional discontinuous frameworksimulation of diffusion processtrajectories of diffusion process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Diffusion processes (60J60)

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