Exact sampling of diffusions with a discontinuity in the drift
classification
📊 stat.ME
math.PR
keywords
diffusionsdiscontinuitydriftexactsamplingsimulationbrowniancandidate
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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 sampling. A simple illustration is provided.
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