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  -