Exact sampling of diffusions with a discontinuity in the drift
Methodology
2017-01-24 v1 Probability
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.
Keywords
Cite
@article{arxiv.1511.04112,
title = {Exact sampling of diffusions with a discontinuity in the drift},
author = {Omiros Papaspiliopoulos and Gareth O. Roberts and Kasia B. Taylor},
journal= {arXiv preprint arXiv:1511.04112},
year = {2017}
}
Comments
13 pages