A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients

Annals of Applied Probability

Volumn 16, Issue 1, 2006, Pages 107-139

  Lejay, Antoine ^a,c   Martinez, Miguel ^b,d  

^a Projet Omega ^*  (France)

^b INRIA   (France)

^c UNIVERSITÉ HENRI POINCARÉ NANCY 1   (France)

^d INRIA   (France)

Author keywords

Divergence form operator; Local time; Monte Carlo methods; One dimensional diffusion; Scale function; Skew Brownian motion; Speed measure

Indexed keywords

EID: 33645691676     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051605000000656     Document Type: Article

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