Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift

DOI10.1051/ps/2013053zbMath1315.65008arXiv1301.3019MaRDI QIDQ5174375

Miguel Martinez, Pierre Étoré

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3019

zbMATH Keywords

algorithm; convergence; numerical examples; local time; skew Brownian motion; one-dimensional diffusion; system of stochastic differential equations; Brownian motion with two-valued drift; exact simulation methods

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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