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

   
@article{EJP311,
	author = {Pierre Etoré},
	title = {On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {11},
	year = {2006},
	keywords = {Monte Carlo methods, random walk, Skew Brownian motion, one-dimensional process, divergence form operator,},
	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.},
	pages = {no. 9, 249-275},
	issn = {1083-6489},
	doi = {10.1214/EJP.v11-311},    
        url = {http://ejp.ejpecp.org/article/view/311}}