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Showing 1 to 1 of 1 for “"skew diffusions"”.
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On the exact simulation of (skew) Brownian diffusions with discontinuous drift
… of two classes of real-valued Brownian diffusions: multi-skew Brownian motions with constant drift and Brownian diffusions whose drift admits a finite number of jumps. The skew Brownian motion was introduced in the sixties by Itô and McKean, who constructed it from the reflected Brownian …