Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process

Details Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process

2011-02-13

arxiv.org/abs/1102.2565v1

Mathematics

Probability

22 pages r\'ef\'erences comprises

Scientific paper

In this article we extend the exact simulation methods of Beskos et al. to the solutions of one-dimensional stochastic differential equations involving the local time of the unknown process at point zero. In order to perform the method we compute the law of the skew Brownian motion with drift. The method presented in this article covers the case where the solution of the SDE with local time corresponds to a divergence form operator with a discontinuous coefficient at zero. Numerical examples are shown to illustrate the method and the performances are compared with more traditional discretization schemes.

Affiliated with

Also associated with

No associations

Rating

Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-181