A General Framework to Simulate Diffusions with Discontinuous Coefficients and Local Times

In this article, we propose an efficient general simulation method for diffusions that are solutions to stochastic differential equations with discontinuous coefficients and local time terms. The proposed is based on sampling from the corresponding continuous-time Markov chain approximation. contrast existing discretization schemes, approximation corresponds a spatial scheme demonstrated be particularly suited simulating diffusion processes discontinuities in their state space. We establish theoretical convergence order also demonstrate accuracy robustness of numerical examples by comparing it known benchmarks terms root mean squared error, runtime, parameter sensitivity.