Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
In this paper, using an algorithm based on the retrospective rejection sampling scheme introduced in [A. Beskos, O. Papaspiliopoulos, and G. O. Roberts, Methodol. Comput. Appl. Probab., 10 (2008), pp. 85--104] and [P. Étoré and M. Martinez, ESAIM Probab. Stat., 18 (2014), pp. 686--702], we propose an exact simulation of …