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Reports (Research Report) Year : 2016

Two numerical schemes for the simulation of skew diffusions using their resolvent kernels

Abstract

We provide two numerical schemes for the sample paths simulation of skew diffusions with piecewise constant coefficients. Both of these schemes use the resolvent kernel. Precisely, the first scheme use only the resolvent kernel while the second use it as less as possible. Moreover, in the second, some sampled positions are exact.
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Dates and versions

hal-01206968 , version 1 (29-09-2015)
hal-01206968 , version 2 (01-10-2015)

Identifiers

  • HAL Id : hal-01206968 , version 2

Cite

Lionel Lenôtre. Two numerical schemes for the simulation of skew diffusions using their resolvent kernels. [Research Report] Inria Rennes; IRMAR. 2016. ⟨hal-01206968v2⟩
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