An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers

Dereudre David (), Mazzonetto Sara () and Roelly Sylvie ()
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Dereudre David: Laboratoire de Mathématiques Paul Painlevé, UMR CNRS 8524, Université Lille1, 59655 Villeneuve d'Ascq Cedex, France
Mazzonetto Sara: Institut für Mathematik der Universität Potsdam, Science Park Golm, Karl-Liebknecht-Str. 24/25, 14476 Potsdam Golm, Germany; and Laboratoire de Mathématiques Paul Painlevé, UMR CNRS 8524, Université Lille1, 59655 Villeneuve d'Ascq Cedex, France
Roelly Sylvie: Institut für Mathematik der Universität Potsdam, Science Park Golm, Karl-Liebknecht-Str. 24/25, 14476 Potsdam Golm, Germany

Monte Carlo Methods and Applications, 2016, vol. 22, issue 1, 1-23

Abstract: In this paper, we obtain an explicit representation of the transition density of the one-dimensional skew Brownian motion with (a constant drift and) two semipermeable barriers. Moreover, we propose a rejection sampling method to simulate this density in an exact way.

Keywords: Skew Brownian motion; semipermeable barriers; distorted Brownian motion; local time; rejection sampling; exact simulation (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1515/mcma-2016-0100

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