Exact simulation of diffusions

Simple item page
dc.creatorBeskos, Alexandros
dc.creatorRoberts, Gareth O.
dc.date2006-02-23
dc.date.accessioned2026-07-07T07:03:42Z
dc.date.available2026-07-07T07:03:42Z
dc.descriptionWe 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/math/0602523
dc.identifierhttp://arxiv.org/abs/math/0602523
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 4, 2422-2444
dc.identifierdoi:10.1214/105051605000000485
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/109078
dc.subjectProbability
dc.subject60J60, 65C05 (Primary)
dc.titleExact simulation of diffusions
dc.typetext

Files

Collections

arXiv