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

DOI10.1214/105051605000000656zbMATH Open1094.60056arXivmath/0603214OpenAlexW2091841927MaRDI QIDQ2494575FDOQ2494575

Authors: Antoine Lejay, Miguel Martinez 

Publication date: 29 June 2006

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

Abstract: The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coefficients that appear in the infinitesimal generator of the diffusion processes, but uses instead an exact description of the behavior of their trajectories when they reach the points of discontinuity. This description is supplied with the local comparison of the trajectories of the diffusion processes with those of a skew Brownian motion.

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

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zbMATH Keywords

Monte Carlo methodslocal timeskew Brownian motionpiecewise smooth functionsdivergence form operatorspeed measureone-dimensional discontinuous frameworksimulation of diffusion processtrajectories of diffusion process

Mathematics Subject Classification ID

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

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Cited In (42)

• Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
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