Exact sampling of diffusions with a discontinuity in the drift. (July 2016)

• Record Type: Journal Article
• Authors: Papaspiliopoulos, Omiros; Roberts, Gareth O.; Taylor, Kasia B.
• Editors: Goldie, C. M.; Mijatović, A.
• Is Part Of: Advances in applied probability. Volume 48:Number A(2016)
• Page Start: 249
• Page End: 259
• Publication Date: 2016-07
• Subjects: Exact algorithm, -- sampling of diffusions, -- diffusion with discontinuous drift, -- retrospective rejection sampling; Primary 65C30, -- Secondary 60H35, -- 65C05; Probabilities -- Periodicals; Stochastic models -- Periodicals; Electronic journals; Periodicals; 519.2
• DOI: 10.1017/apr.2016.54
• Languages: English
• ISSNs: 0001-8678

Abstract

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.