An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers

  • 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.

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Metadaten
Author:David Dereudre, Sara Mazzonetto, Sylvie RoellyGND
URN:urn:nbn:de:kobv:517-opus4-80613
ISSN:2193-6943 (online)
Series (Serial Number):Preprints des Instituts für Mathematik der Universität Potsdam (4 (2015) 9)
Publisher:Universitätsverlag Potsdam
Place of publication:Potsdam
Document Type:Preprint
Language:English
Year of first Publication:2015
Year of Completion:2015
Publishing Institution:Universität Potsdam
Publishing Institution:Universitätsverlag Potsdam
Release Date:2015/09/10
Tag:distorted Brownian motion; exact simulation; local time; rejection sampling; semipermeable barriers; skew Brownian motion
Volume:4
Issue:9
Pagenumber:23
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
MSC Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H10 Stochastic ordinary differential equations [See also 34F05]
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Jxx Markov processes / 60J35 Transition functions, generators and resolvents [See also 47D03, 47D07]
65-XX NUMERICAL ANALYSIS / 65Cxx Probabilistic methods, simulation and stochastic differential equations (For theoretical aspects, see 68U20 and 60H35) / 65C20 Models, numerical methods [See also 68U20]
68-XX COMPUTER SCIENCE (For papers involving machine computations and programs in a specific mathematical area, see Section {04 in that areag 68-00 General reference works (handbooks, dictionaries, bibliographies, etc.) / 68Uxx Computing methodologies and applications / 68U20 Simulation [See also 65Cxx]
Collections:Universität Potsdam / Schriftenreihen / Preprints des Instituts für Mathematik der Universität Potsdam, ISSN 2193-6943 / 2015
Publication Way:Universitätsverlag Potsdam
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht