On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients
type: Dataset
description: In this paper, we provide a scheme for simulating one-dimensional processes generated by divergence or non-divergence form operators with discontinuous coefficients. We use a space bijection to transform such a process in another one that behaves locally like a Skew Brownian motion. Indeed the behavior of the Skew Brownian motion can easily be approached by an asymmetric random walk.
landing page: 1083-6489
keyword: divergence-form-operator
keyword: infoeu-reposemanticsarticle
keyword: journal-articles
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: monte-carlo-methods
keyword: one-dimensional-process
keyword: random-walk
keyword: skew-brownian-motion
issued: 2026-05-07T07:21:49.654841
modified: 2026-05-07T07:21:49.654846
language: en
contact point: Organization
  fn: CCSD

test_moissonnage_selune
type: Agent

On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients
type: Distribution
format: HTML
access URL: https://hal.science/hal-00093492
issued: 2026-05-07T07:21:49.656865
modified: 2026-05-07T07:21:49.644184