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20072020
most citedExact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process

4 citations · 7 across the 6 of their papers we have counts for

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math.PR2013★ 2 cited

Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift

Pierre Etore, Miguel Martinez

In this note we propose an exact simulation algorithm for the solution of dX_t=dW_t+b(X_t)dt (1) where b is a smooth real function except at point 0 where b(0+)\neq b(0-). The main…