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Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes - MaRDI portal

Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes (Q2284760)

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Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
scientific article

    Statements

    title
    Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes (English)
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    author
    H. de la Cruz
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    J. C. Jimenez
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    publication date
    15 January 2020
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    zbMATH Keywords
    Ornstein-Uhlenbeck process
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    pathwise simulation
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    exact simulation
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    stochastic differential equations
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    Identifiers

    Mathematics Subject Classification ID
    60H35
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    60H10
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    65C30
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    60J60
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    60J70
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    zbMATH DE Number
    7151589
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    OpenAlex ID
    W2977266131
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