On random walk simulation of one-dimensional diffusion processes with discontinuous coefficientsReport as inadecuate




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1 IECN - Institut Élie Cartan de Nancy 2 OMEGA - Probabilistic numerical methods CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, CNRS - Centre National de la Recherche Scientifique : UMR7502

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.

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





Author: Pierre Etore -

Source: https://hal.archives-ouvertes.fr/



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