Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes

DOI10.1016/j.amc.2019.124734zbMath1433.60075OpenAlexW2977266131MaRDI QIDQ2284760

H. de la Cruz, J. C. Jimenez

Publication date: 15 January 2020

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2019.124734

zbMATH Keywords

stochastic differential equationsOrnstein-Uhlenbeck processexact simulationpathwise simulation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model

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