Exact simulation of diffusions

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We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.
Published at http://dx.doi.org/10.1214/105051605000000485 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Probability, 60J60, 65C05 (Primary)

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http://salesiana.dossiersoluciones.com/handle/123456789/109078

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0602523
 http://arxiv.org/abs/math/0602523
 Annals of Applied Probability 2005, Vol. 15, No. 4, 2422-2444
 doi:10.1214/105051605000000485

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arXiv