Exact simulation problems for jump-diffusions

DOI10.1007/s11009-013-9330-2zbMath1334.60130OpenAlexW1975146008MaRDI QIDQ2513661

Gareth O. Roberts, Flávio B. Gonçalves

Publication date: 28 January 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-013-9330-2

zbMATH Keywords

stochastic differential equationsexact simulationjump-diffusions

Mathematics Subject Classification ID

Related Items (10)

Measuring Impact of Random Jumps Without Sample Path Generation ⋮ Online Smoothing for Diffusion Processes Observed with Noise ⋮ Using maximum cross section method for filtering jump-diffusion random processes ⋮ Consistency of Bayesian nonparametric inference for discretely observed jump diffusions ⋮ Exact Bayesian Inference in Spatiotemporal Cox Processes Driven by Multivariate Gaussian Processes ⋮ Simulated likelihood estimators for discretely observed jump-diffusions ⋮ Multiscale stochastic optimization: modeling aspects and scenario generation ⋮ Exact simulation of the first passage time through a given level of jump diffusions ⋮ Shot noise multifractal model for turbulent pseudo-dissipation ⋮ A first step to implement Gillespie's algorithm with rejection sampling

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• Exact Sampling of Jump Diffusions
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