Beskos, A;
Roberts, GO;
(2005)
Exact simulation of diffusions.
The Annals of Applied Probability
, 15
(4)
2422 - 2444.
10.1214/105051605000000485.
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Abstract
We 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.
| Type: | Article |
|---|---|
| Title: | Exact simulation of diffusions |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1214/105051605000000485 |
| Publisher version: | https://doi.org/10.1214/105051605000000485 |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | exact simulation, rejection sampling, Girsanov theorem, boundary hitting time |
| UCL classification: | UCL 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/146969 |
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