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Exact pathwise simulation of multi-dimensional Ornstein–Uhlenbeck processes

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  • de la Cruz, H.
  • Jimenez, J. C

Abstract

The exact pathwise simulation of multidimensional Ornstein–Uhlenbeck processes is considered. We propose two procedures that allow the exact pathwise simulation of this type of processes and, simultaneously, the generation of the underlying Wiener trajectories from the same source of randomness. This is particularly important when both processes are system-components in larger stochastic models, for which the study of pathwise dynamics is required.

Suggested Citation

  • de la Cruz, H. & Jimenez, J. C, 2020. "Exact pathwise simulation of multi-dimensional Ornstein–Uhlenbeck processes," Applied Mathematics and Computation, Elsevier, vol. 366(C).
    • Handle: RePEc:eee:apmaco:v:366:y:2020:i:c:s009630031930726x
    DOI: 10.1016/j.amc.2019.124734
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    References listed on IDEAS

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    7. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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    Cited by:

    1. Lionel Sopgoui, 2024. "Modeling the impact of Climate transition on real estate prices," Papers 2408.02339, arXiv.org.

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