Section: New Software and Platforms

SBM

Skew Brownian Motion

Keywords: Monte-Carlo methods - Skew Brownian Motion

Functional Description: SBM is a code allowing exact or approximated simulations of the Skew Brownian Motion. This code is used for the simulation, with a Monte-Carlo approach, of a 1D diffusion process with a discontinuous diffusion coefficient. Several benchmark tests are also implemented.

News Of The Year: - Refactoring and Cmake compilation - Automatic non regression tests on ci-inria.fr - Full documentation - Open source project on gitlab-inria

• Authors: Antoine Lejay and Géraldine Pichot

• Contact: Antoine Lejay

• Publication: Simulating diffusion processes in discontinuous media: Benchmark tests

• URL: https://gitlab.inria.fr/lejay/sbm