Exact sampling of diffusions with a discontinuity in the drift
Exact sampling of diffusions with a discontinuity in the drift
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Publisher
Cambridge, UK: Cambridge University Press
Journal title
Language
English
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Publication information
Publisher
Cambridge, UK: Cambridge University Press
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Scope and Contents
Contents
We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of finite-dimensional candidate draws from probability laws related to those of Brownian motion and its local time, and are based on the principle of retrospective rejection sa...
Alternative Titles
Full title
Exact sampling of diffusions with a discontinuity in the drift
Authors, Artists and Contributors
Author / Creator
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Record Identifier
TN_cdi_proquest_journals_1991076959
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1991076959
Other Identifiers
ISSN
0001-8678
E-ISSN
1475-6064
DOI
10.1017/apr.2016.54
