An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers

DOI10.1515/mcma-2016-0100zbMath1335.60151arXiv1509.02846OpenAlexW2224737650MaRDI QIDQ254492

Sylvie Roelly, David Dereudre, Sara Mazzonetto

Publication date: 8 March 2016

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02846

zbMATH Keywords

local timetransition densitiesrejection samplingskew Brownian motionexact simulationsemipermeable barriers

Mathematics Subject Classification ID

Related Items (7)

Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators ⋮ Convergence of skew Brownian motions with local times at several points that are contracted into a single one ⋮ An exponential timestepping algorithm for diffusion with discontinuous coefficients ⋮ Exact Simulation of Brownian Diffusions with Drift Admitting Jumps ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift ⋮ Wave propagation for reaction-diffusion equations on infinite random trees ⋮ Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients

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