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Retrospective exact simulation of diffusion sample paths with applications

Beskos, A; Papaspiliopoulos, O; Roberts, GO; (2006) Retrospective exact simulation of diffusion sample paths with applications. Bernoulli , 12 (6) pp. 1077-1098. 10.3150/bj/1165269151. Green open access

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Abstract

We present an algorithm for exact simulation of a class of Itô's diffusions. We demonstrate that when the algorithm is applicable, it is also straightforward to simulate diffusions conditioned to hit specific values at predetermined time instances. We also describe a method that exploits the properties of the algorithm to carry out inference on discretely observed diffusions without resorting to any kind of approximation apart from the Monte Carlo error.

Type: Article
Title: Retrospective exact simulation of diffusion sample paths with applications
Open access status: An open access version is available from UCL Discovery
DOI: 10.3150/bj/1165269151
Publisher version: https://doi.org/10.3150/bj/1165269151
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.
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/10050411
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