TY  - INPR
A1  - Dereudre, David
A1  - Mazzonetto, Sara
A1  - Roelly, Sylvie
T1  - Exact simulation of Brownian diffusions with drift admitting jumps
N2  - Using an algorithm based on a retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps, providing numerical simulations. Our main contribution is to manage the technical difficulty due to the presence of two jumps thanks to a new explicit expression of the transition density of the skew Brownian motion with two semipermeable barriers and a constant drift.
T3  - Preprints des Instituts für Mathematik der Universität Potsdam - 5 (2016) 7 
KW  - exact simulation method
KW  - skew Brownian motion
KW  - skew diffusion
KW  - Brownian motion with discontinuous drift
Y1  - 2016
UR  - https://publishup.uni-potsdam.de/frontdoor/index/index/docId/9104
UR  - https://nbn-resolving.org/urn:nbn:de:kobv:517-opus4-91049
SN  - 2193-6943
VL  - 5
IS  - 7
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  -