\(\varepsilon\)-strong simulation of the Brownian path

DOI10.3150/11-BEJ383zbMath1263.65007arXiv1110.0110MaRDI QIDQ1932226

Gareth O. Roberts, Alexandros Beskos, Stefano Peluchetti

Publication date: 17 January 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.0110

zbMATH Keywords

iterative algorithmnumerical examplesoption pricingMonte Carlo estimatorspathwise convergenceBrownian Bridgepath dependent optionsintersection layerunbiased sampling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24)

Related Items

On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions, Unbiased simulation of rare events in continuous time, Steady-state simulation of reflected Brownian motion and related stochastic networks, Strong approximation of some particular one-dimensional diffusions, \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders, Exact simulation of multidimensional reflected Brownian motion, ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations

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