Electronic Journal of Probability

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

Pierre Etoré

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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.

Article information

Electron. J. Probab., Volume 11 (2006), paper no. 9, 249-275.

Accepted: 15 March 2006
First available in Project Euclid: 31 May 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60J60: Diffusion processes [See also 58J65]
Secondary: 65C

Monte Carlo methods random walk Skew Brownian motion one-dimensional process divergence form operator

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Etoré, Pierre. On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients. Electron. J. Probab. 11 (2006), paper no. 9, 249--275. doi:10.1214/EJP.v11-311. https://projecteuclid.org/euclid.ejp/1464730544

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