{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,6]],"date-time":"2026-10-06T05:20:58Z","timestamp":1791264058831,"version":"4.1.0"},"reference-count":17,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"3","funder":[{"name":"Deutsch-Franz\u00c3\u00b6sische Hochschule"},{"DOI":"10.13039\/501100001659","name":"Deutsche Forschungsgemeinschaft","doi-asserted-by":"publisher","award":["FTG 1845"],"award-info":[{"award-number":["FTG 1845"]}],"id":[{"id":"10.13039\/501100001659","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100004100","name":"Labex","doi-asserted-by":"publisher","award":["ANR-11-LABX-0007-01"],"award-info":[{"award-number":["ANR-11-LABX-0007-01"]}],"id":[{"id":"10.13039\/501100004100","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Sci. Comput."],"published-print":{"date-parts":[[2017,1]]},"abstract":"<jats:p>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. \u00c9tor\u00e9 and M. Martinez, ESAIM Probab. Stat., 18 (2014), pp. 686--702], we propose an exact simulation of a Brownian diffusion whose drift admits several jumps. We treat explicitly and extensively the case of two jumps, providing numerical simulations. Our main contribution is to manage the technical difficulty due to the presence of two jumps thanks to a new explicit expression of the transition density of the skew Brownian motion with two semipermeable barriers and a constant drift.<\/jats:p>","DOI":"10.1137\/16m107699x","type":"journal-article","created":{"date-parts":[[2017,5,9]],"date-time":"2017-05-09T11:44:34Z","timestamp":1494330274000},"page":"A711-A740","source":"Crossref","is-referenced-by-count":12,"title":["Exact Simulation of Brownian Diffusions with Drift Admitting Jumps"],"prefix":"10.1137","volume":"39","author":[{"given":"David","family":"Dereudre","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sara","family":"Mazzonetto","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sylvie","family":"Roelly","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2017,5,9]]},"reference":[{"key":"atypb1","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1165269151"},{"key":"atypb2","doi-asserted-by":"publisher","DOI":"10.1007\/s11009-007-9060-4"},{"key":"atypb3","doi-asserted-by":"publisher","DOI":"10.1214\/105051605000000485"},{"key":"atypb4","doi-asserted-by":"publisher","DOI":"10.1515\/mcma-2016-0100"},{"key":"atypb5","doi-asserted-by":"publisher","DOI":"10.1515\/mcma-2013-0002"},{"key":"atypb6","doi-asserted-by":"publisher","DOI":"10.1051\/ps\/2013053"},{"key":"atypb7","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176994472"},{"key":"atypb8","volume-title":"Grundlehren der Mathematischen Wissenschaften in Einzeldarstellungen 125","author":"It\u00f4 K.","year":"1965"},{"key":"atypb9","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4757-4015-8"},{"key":"atypb10","series-title":"Lecture Notes in Math.","first-page":"51","volume-title":"Stochastic Analysis and Applications","author":"Le Gall J.-F."},{"key":"atypb11","volume-title":"One-Dimensional Skew Diffusions: Explicit Expressions of Densities and Resolvent Kernels, https:\/\/hal.inria.fr\/hal-01194187","author":"Lejay A.","year":"2015"},{"key":"atypb12","doi-asserted-by":"publisher","DOI":"10.1137\/1135018"},{"key":"atypb13","doi-asserted-by":"publisher","DOI":"10.1017\/apr.2016.54"},{"key":"atypb14","doi-asserted-by":"publisher","DOI":"10.1090\/S0002-9939-2011-10766-4"},{"key":"atypb15","volume-title":"Grundlehren der Mathematischen Wissenschaften in Einzeldarstellungen mit Besonderer Ber\u00fccksichtigung der Anwendungsgebiete","author":"Stroock D.-W.","year":"1979"},{"key":"atypb16","unstructured":"K. B. Taylor,\n                      Exact Algorithms for Simulation of Diffusions with Discontinuous Drift and Robust Curvature Metropolis-Adjusted Langevin Algorithms\n                      , Ph.D. thesis, University of Warwick, Coventry, UK, 2015."},{"key":"atypb17","doi-asserted-by":"publisher","DOI":"10.1215\/kjm\/1250523691"}],"container-title":["SIAM Journal on Scientific Computing"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/16M107699X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T15:41:42Z","timestamp":1787326902000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/16M107699X"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,1]]},"references-count":17,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2017,1]]}},"alternative-id":["10.1137\/16M107699X"],"URL":"https:\/\/doi.org\/10.1137\/16m107699x","relation":{},"ISSN":["1064-8275","1095-7197"],"issn-type":[{"value":"1064-8275","type":"print"},{"value":"1095-7197","type":"electronic"}],"subject":[],"published":{"date-parts":[[2017,1]]}}}