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Exact sampling of diffusions with a discontinuity in the drift
Published online by Cambridge University Press: 25 July 2016
Abstract
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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- Type
- Research Article
- Information
- Advances in Applied Probability , Volume 48 , Issue A: Probability, Analysis and Number Theory , July 2016 , pp. 249 - 259
- Copyright
- Copyright © Applied Probability Trust 2016
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