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On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients. (English) Zbl 1112.60061
Summary: We provide a scheme for simulating one-dimensional processes generated by divergence or non-divergence form operators with discontinuous coefficients. We use a space bijection to transform such a process in another one that behaves locally like a skew Brownian motion. Indeed the behavior of the skew Brownian motion can easily be approached by an asymmetric random walk.

MSC:
60J60 Diffusion processes
60G50 Sums of independent random variables; random walks
65C05 Monte Carlo methods
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