A Factorisation of Diffusion Measure and Finite Sample Path Constructions
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DOI: 10.1007/s11009-007-9060-4
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Cited by:
- Nan Chen & Zhengyu Huang, 2013. "Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 591-616, August.
- Wanmo Kang & Jong Mun Lee, 2019. "Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 334-353, February.
- Marcin Mider & Paul A. Jenkins & Murray Pollock & Gareth O. Roberts, 2022. "The Computational Cost of Blocking for Sampling Discretely Observed Diffusions," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3007-3027, December.
- Jan Baldeaux, 2011. "Exact Simulation of the 3/2 Model," Papers 1105.3297, arXiv.org, revised May 2011.
- Krzysztof Łatuszyński & Gareth O. Roberts, 2013. "CLTs and Asymptotic Variance of Time-Sampled Markov Chains," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 237-247, March.
- Murray Pollock, 2015. "On the Exact Simulation of (Jump) Diffusion Bridges," Papers 1505.03030, arXiv.org.
- Étoré Pierre & Martinez Miguel, 2013. "Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process," Monte Carlo Methods and Applications, De Gruyter, vol. 19(1), pages 41-71, March.
- Herrmann, Samuel & Massin, Nicolas, 2023. "Exact simulation of the first passage time through a given level of jump diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 203(C), pages 553-576.
- Murray Pollock & Paul Fearnhead & Adam M. Johansen & Gareth O. Roberts, 2020. "Quasi‐stationary Monte Carlo and the ScaLE algorithm," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 82(5), pages 1167-1221, December.
- Peavoy, Daniel & Franzke, Christian L.E. & Roberts, Gareth O., 2015. "Systematic physics constrained parameter estimation of stochastic differential equations," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 182-199.
- Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
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Keywords
Rejection sampling; Exact simulation; Conditioned Brownian motion; Boundary hitting times;All these keywords.
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