UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

A factorisation of diffusion measure and finite sample path constructions

Beskos, A; Papaspiliopoulos, O; Roberts, GO; (2008) A factorisation of diffusion measure and finite sample path constructions. Methodology and Computing in Applied Probability , 10 (1) pp. 85-104. 10.1007/s11009-007-9060-4. Green open access

[img]
Preview
Text
Beskos_revision.pdf - Accepted version

Download (313kB) | Preview

Abstract

In this paper we introduce decompositions of diffusion measure which are used to construct an algorithm for the exact simulation of diffusion sample paths and of diffusion hitting times of smooth boundaries. We consider general classes of scalar time-inhomogeneous diffusions and certain classes of multivariate diffusions. The methodology presented in this paper is based on a novel construction of the Brownian bridge with known range for its extrema, which is of interest on its own right.

Type: Article
Title: A factorisation of diffusion measure and finite sample path constructions
Open access status: An open access version is available from UCL Discovery
DOI: 10.1007/s11009-007-9060-4
Publisher version: http://doi.org/10.1007/s11009-007-9060-4
Language: English
Additional information: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
Keywords: Rejection sampling, Exact simulation, Conditioned Brownian motion, Boundary hitting times
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: https://discovery.ucl.ac.uk/id/eprint/10049806
Downloads since deposit
78Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item