On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients. (English) Zbl 1112.60061

Étoré, Pierre

Electron. J. Probab. 11, Paper No. 9, 249-275 (2006).

Summary: 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.

MSC:

60J60	Diffusion processes
60G50	Sums of independent random variables; random walks
65C05	Monte Carlo methods