Exact sampling of diffusions with a discontinuity in the drift
arXiv:1511.04112 · doi:10.1017/apr.2016.54
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.
13 pages