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Two numerical schemes for the simulation of skew diffusions using their resolvent kernels
Abstract : We provide two numerical schemes for the sample paths simulation of skew diffusions with piecewise constant coefficients. Both of these schemes use the resolvent kernel. Precisely, the first scheme use only the resolvent kernel while the second use it as less as possible. Moreover, in the second, some sampled positions are exact.
Cited literature [17 references]
https://hal.inria.fr/hal-01206968
Contributor : Lionel Lenôtre <>
Submitted on : Thursday, October 1, 2015 - 6:53:59 PM
Last modification on : Tuesday, December 8, 2020 - 9:38:44 AM
Long-term archiving on: : Saturday, January 2, 2016 - 11:33:51 AM
Contributor : Lionel Lenôtre <>
Submitted on : Thursday, October 1, 2015 - 6:53:59 PM
Last modification on : Tuesday, December 8, 2020 - 9:38:44 AM
Long-term archiving on: : Saturday, January 2, 2016 - 11:33:51 AM
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One-dimensional_skew_diffusion...
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