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Exact sampling of diffusions with a discontinuity in the drift

Published 12 Nov 2015 in stat.ME and math.PR | (1511.04112v1)

Abstract: We introduce exact methods for the simulation of sample paths of one-dimensional diffusions with a discontinuity in the drift function. Our procedures require the simulation of finite-dimensional candidate draws from probability laws related to those of Brownian motion and its local time and are based on the principle of retrospective rejection sampling. A simple illustration is provided.

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