Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process

DOI10.1515/mcma-2013-0002zbMath1269.65007arXiv1102.2565OpenAlexW2035182577MaRDI QIDQ4915855

Miguel Martinez, Pierre Étoré

Publication date: 12 April 2013

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

Full work available at URL: https://arxiv.org/abs/1102.2565

zbMATH Keywords

numerical examplesstochastic differential equationslocal timeskew Brownian motiondiscontinuous coefficientone-dimensional diffusionexact simulation methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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