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arXiv · 1511.04112

Exact sampling of diffusions with a discontinuity in the drift

Omiros Papaspiliopoulos·Gareth O. Roberts·Kasia B. Taylor
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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.

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Omiros Papaspiliopoulos, Gareth O. Roberts, Kasia B. Taylor. 2015-11-12. Exact sampling of diffusions with a discontinuity in the drift. https://doi.org/10.1017/apr.2016.54

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