Simulation of a stochastic process in a discontinuous layered medium

Antoine Lejay (INRIA)

Abstract


In this note, we provide a simulation algorithm for a diffusion process in a layered media. Our main tools are the properties of the Skew Brownian motion and a path decomposition technique for simulating occupation times.

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Pages: 764-774

Publication Date: November 30, 2011

DOI: 10.1214/ECP.v16-1686

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