Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection

DOI10.1007/s13160-019-00395-xzbMath1440.60066OpenAlexW2986186641MaRDI QIDQ2300965

Tomooki Yuasa

Publication date: 28 February 2020

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-019-00395-x

zbMATH Keywords

stochastic differential equationsparametrix methodunbiased simulation method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

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• The parametrix method for skew diffusions
• Unbiased simulation of stochastic differential equations using parametrix expansions
• A probabilistic interpretation of the parametrix method
• Parametrix methods for one-dimensional reflected SDEs
• Euler scheme for reflected stochastic differential equations
• Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

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