Team, Visitors, External Collaborators
Overall Objectives
Research Program
Application Domains
Highlights of the Year
New Software and Platforms
New Results
Bilateral Contracts and Grants with Industry
Partnerships and Cooperations
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Section: New Software and Platforms


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 - Full documentation - Open source project on gitlab-inria