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On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients
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Pierre Etoré, IECN, UHP Nancy I, France
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Abstract
In this paper, we provide a scheme for simulating
one-dimensional processes generated by divergence or non-divergence form operators with discontinuous coefficients.
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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Full text: PDF
Pages: 249-275
Published on: March 15, 2006
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Electronic Journal of Probability. ISSN: 1083-6489 |
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