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The proposed method is based on sampling from the corresponding continuous-time Markov chain approximation. In contrast to existing time discretization schemes, the Markov chain approximation method corresponds to a spatial discretization scheme and is demonstrated to be particularly suited for simulating diffusion processes with discontinuities in their state space. We establish the theoretical convergence order and also demonstrate the accuracy and robustness of the method in numerical examples by comparing it to the known benchmarks in terms of root mean squared error, runtime, and the parameter sensitivity.<\/jats:p>","DOI":"10.1145\/3559541","type":"journal-article","created":{"date-parts":[[2022,8,26]],"date-time":"2022-08-26T11:23:15Z","timestamp":1661512995000},"page":"1-29","update-policy":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":3,"title":["A General Framework to Simulate Diffusions with Discontinuous Coefficients and Local Times"],"prefix":"10.1145","volume":"32","author":[{"ORCID":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/orcid.org\/0000-0003-2368-4700","authenticated-orcid":false,"given":"Kailin","family":"Ding","sequence":"first","affiliation":[{"name":"Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China"}]},{"ORCID":"https:\/\/summer-heart-0930.chufeiyun1688.workers.dev:443\/https\/orcid.org\/0000-0001-9429-7121","authenticated-orcid":false,"given":"Zhenyu","family":"Cui","sequence":"additional","affiliation":[{"name":"Stevens Institute of Technology, Hoboken, New Jersey, USA"}]}],"member":"320","published-online":{"date-parts":[[2022,11,5]]},"reference":[{"key":"e_1_3_3_2_2","doi-asserted-by":"publisher","DOI":"10.48550\/arXiv.2206.03713"},{"issue":"3","key":"e_1_3_3_3_2","first-page":"1438","article-title":"A functional limit theorem for irregular SDEs","volume":"53","author":"Ankirchner Stefan","year":"2017","unstructured":"Stefan Ankirchner, Thomas Kruse, and Mikhail Urusov. 2017. 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