Section: New Software and Platforms

SBM

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.

• Authors: Antoine Lejay and Géraldine Pichot

• Contact: Géraldine Pichot