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Two numerical schemes for the simulation of skew diffusions using their resolvent kernels

Lionel Lenôtre 1
1 SAGE - Simulations and Algorithms on Grids for Environment
Inria Rennes – Bretagne Atlantique , IRISA-D1 - SYSTÈMES LARGE ÉCHELLE
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.
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Submitted on : Thursday, October 1, 2015 - 6:53:59 PM
Last modification on : Wednesday, February 2, 2022 - 3:58:42 PM
Long-term archiving on: : Saturday, January 2, 2016 - 11:33:51 AM

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  • HAL Id : hal-01206968, version 2

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Lionel Lenôtre. Two numerical schemes for the simulation of skew diffusions using their resolvent kernels. [Research Report] Inria Rennes; IRMAR. 2016. ⟨hal-01206968v2⟩

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