On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients
نویسندگان
چکیده
منابع مشابه
On random walk simulation of one-dimensional di usion processes with discontinuous coe cients
In this paper, we provide a scheme for simulating one-dimensional processes generated by divergence or non-divergence form operators with discontinuous coe cients. We use a space bijection to transform such a process in another one that behaves locally like a Skew Brownian motion. Indeed the behavior of the Skew Brownian motion can easily be approached by an asymmetric random walk.
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2006
ISSN: 1083-6489
DOI: 10.1214/ejp.v11-311