  In this paper, using an algorithm based on the retrospective rejection
sampling scheme, 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 diffculty 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.
