| Título: | On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients |
| Autores: | Etoré, Pierre; IECN, UHP Nancy I, France |
| Fecha: | 2006-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Monte Carlo methods, random walk, Skew Brownian motion, one-dimensional process, divergence form operator, 60J60, 65C |
| Descripción: | 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. |
| Idioma: | No aplica |
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