{"paper":{"title":"Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Miguel Martinez (LAMA), Pierre Etore (LJK)","submitted_at":"2013-01-14T15:43:17Z","abstract_excerpt":"In this note we propose an exact simulation algorithm for the solution of dX_t=dW_t+b(X_t)dt (1) where b is a smooth real function except at point 0 where b(0+)\\neq b(0-). The main idea is to sample an exact skeleton of X using an algorithm deduced from the convergence of the solutions of the skew perturbed equation dX^\\beta_t=dW_t+b(X^\\beta_t)dt + \\beta dL^0_t {X^\\beta} (2) towards X solution of (1) as \\beta tends to 0. In this note, we show that this convergence induces the convergence of exact simulation algorithms proposed by the authors in \\cite{etoremartinez1} for the solutions of (2) to"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1301.3019","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}