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

Exact simulation of diffusions

Beskos, A; Roberts, GO; (2005) Exact simulation of diffusions. The Annals of Applied Probability , 15 (4) 2422 - 2444. 10.1214/105051605000000485. Green open access

[img]
Preview
Text
Beskos_Beskos_Roberts_05.pdf

Download (303kB) | Preview

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 > 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
Downloads since deposit
32Downloads
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item