Work

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

Year: 2006

Type: article

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.

Source: Electronic Journal of Probability

DOI: 10.1214/ejp.v11-311

Author: Pierre Etoré

Institutions: Institut Élie Cartan de Lorraine, Université Henri Poincaré

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W2072314552