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


 
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1. Title Title of document On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients
 
2. Creator Author's name, affiliation, country Pierre Etoré; IECN, UHP Nancy I, France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Monte Carlo methods, random walk, Skew Brownian motion, one-dimensional process, divergence form operator,
 
3. Subject Subject classification 60J60, 65C
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) GdR MOMAS
 
7. Date (YYYY-MM-DD) 2006-03-15
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/311
 
10. Identifier Digital Object Identifier 10.1214/EJP.v11-311
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 11
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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