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math.PR2011
Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time
Arnaud Gloter, Miguel Martinez
In this paper, we consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. We show that we can de…
math.PR2006★ 76 cited
A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
Antoine Lejay, Miguel Martinez
The aim of this article is to provide a scheme for simulating diffusion processes evolving in one-dimensional discontinuous media. This scheme does not rely on smoothing the coeffi…