On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients

Electronic Journal of Probability

Volumn 11, Issue , 2006, Pages 249-275

  Étoré, Pierre ^a  

^a UNIVERSITÉ HENRI POINCARÉ NANCY 1   (France)

Author keywords

Divergence form operator; Local time; Monte Carlo methods; One dimensional process; Random walk; Skew Brownian motion

Indexed keywords

EID: 33644948265     PISSN: None     EISSN: 10836489     Source Type: Journal    
DOI: 10.1214/EJP.v11-311     Document Type: Article

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