TY  - JOUR
A1  - Dereudre, David
A1  - Mazzonetto, Sara
A1  - Roelly, Sylvie
T1  - Exact simulation of Brownian diffusions with drift admitting jumps
JF  - SIAM journal on scientific computing
N2  - In this paper, using an algorithm based on the retrospective rejection sampling scheme introduced in [A. Beskos, O. Papaspiliopoulos, and G. O. Roberts,Methodol. Comput. Appl. Probab., 10 (2008), pp. 85-104] and [P. Etore and M. Martinez, ESAIM Probab.Stat., 18 (2014), pp. 686-702], we propose an exact simulation of a Brownian di ff usion 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 di ffi culty due to the presence of t w o jumps thanks to a new explicit expression of the transition density of the skew Brownian motion with two semipermeable barriers and a constant drift.
KW  - exact simulation methods
KW  - skew Brownian motion
KW  - skew diffusions
KW  - Brownian motion with discontinuous drift
Y1  - 2017
U6  - https://doi.org/10.1137/16M107699X
SN  - 1064-8275
SN  - 1095-7197
VL  - 39
IS  - 3
SP  - A711
EP  - A740
PB  - Society for Industrial and Applied Mathematics
CY  - Philadelphia
ER  - 
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
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-91049
SN  - 2193-6943
VL  - 5
IS  - 7
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  - 
TY  - INPR
A1  - Dereudre, David
A1  - Mazzonetto, Sara
A1  - Roelly, Sylvie
T1  - An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
N2  - In this paper we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover we propose a rejection method to simulate this density in an exact way.
T3  - Preprints des Instituts für Mathematik der Universität Potsdam - 4 (2015) 9 
KW  - skew Brownian motion
KW  - semipermeable barriers
KW  - distorted Brownian motion
KW  - local time
KW  - rejection sampling
KW  - exact simulation
Y1  - 2015
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-80613
SN  - 2193-6943
VL  - 4
IS  - 9
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  -