Abstract
In this note, we provide a simulation algorithm for a diffusion process in a layered media. Our main tools are the properties of the Skew Brownian motion and a path decomposition technique for simulating occupation times.
Citation
Antoine Lejay. "Simulation of a stochastic process in a discontinuous layered medium." Electron. Commun. Probab. 16 764 - 774, 2011. https://doi.org/10.1214/ECP.v16-1686
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