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On random walk simulation of one-dimensional diffusion processes with discontinuous coefficients

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References

1991Continuous Martingales and Brownian Motion1,957 cited
1984One — dimensional stochastic differential equations involving the local times of the unknown process178 cited
2006A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients73 cited

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2018Statistical estimation of the Oscillating Brownian Motion32 cited
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2012One-dimensional parabolic diffraction equations: pointwise estimates and discretization of related stochastic differential equations with weighted local times26 cited
2017Time inhomogeneous Stochastic Differential Equations involving the local time of the unknown process, and associated parabolic operators23 cited

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