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

DOI10.1515/MCMA-2016-0100MaRDI QIDQ254492zbMATH OpenOpenAlexFDO

Authors David Dereudre, Sara Mazzonetto, Sylvie Rœlly

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

exact simulationlocal timerejection samplingsemipermeable barriersskew Brownian motiontransition densities

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

Abstract: In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this density in an exact way.

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Cited in

(10)

• Analytic Expressions of the Solutions of Advection-Diffusion Problems in One Dimension with Discontinuous Coefficients
• Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
• Wave propagation for reaction-diffusion equations on infinite random trees
• Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
• On transition density functions of skew Brownian motions with two-valued drift
• An exponential timestepping algorithm for diffusion with discontinuous coefficients
• Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift
• A general framework to simulate diffusions with discontinuous coefficients and local times
• Convergence of skew Brownian motions with local times at several points that are contracted into a single one
• Weak Approximation for a Black-Scholes Type Regime Switching Model

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