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2006 On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients
Pierre Etoré
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Electron. J. Probab. 11: 249-275 (2006). DOI: 10.1214/EJP.v11-311

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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Pierre Etoré. "On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients." Electron. J. Probab. 11 249 - 275, 2006. https://doi.org/10.1214/EJP.v11-311

Information

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

zbMATH: 1112.60061
MathSciNet: MR2217816
Digital Object Identifier: 10.1214/EJP.v11-311

Subjects:
Primary: 60J60
Secondary: 65C

Keywords: divergence form operator , Monte Carlo methods , one-dimensional process , Random walk , skew Brownian motion

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