most citedExistence and uniqueness properties for solutions of a class of Banach space valued evolution equations

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math.PR2016

Exact simulation of Brownian diffusions with drift admitting jumps

David Dereudre, Sara Mazzonetto, Sylvie Roelly

In this paper, using an algorithm based on the retrospective rejection sampling scheme, we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We…