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  - Roelly, Sylvie
T1  - Propagation of Gibbsianness for infinite-dimensional gradient Brownian diffusions
N2  - We study the (strong-)Gibbsian character on RZd of the law at time t of an infinitedimensional gradient Brownian diffusion , when the initial distribution is Gibbsian.
T3  - Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint - 2004, 06 
KW  - infinite-dimensional Brownian diffusion
KW  - Gibbs measure
KW  - cluster expansion
Y1  - 2004
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-51535
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  - 
TY  - INPR
A1  - Dereudre, David
A1  - Roelly, Sylvie
T1  - Path-dependent infinite-dimensional SDE with non-regular drift : an existence result
N2  - We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be neither small or continuous, nor Markov. On the initial law we only assume that it admits a finite specific entropy. Our result strongly improves the previous ones obtained for free dynamics with a small perturbative drift. The originality of our method leads in the use of the specific entropy as a tightness tool and on a description of such stochastic differential equation as solution of a variational problem on the path space.
T3  - Preprints des Instituts für Mathematik der Universität Potsdam - 3(2014)11 
KW  - Infinite-dimensional SDE
KW  - non-Markov drift
KW  - non-regular drift
KW  - variational principle
KW  - specific entropy
Y1  - 2014
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-72084
SN  - 2193-6943
VL  - 3
IS  - 11
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  -