The strong weak convergence of the quasi-EA

DOI10.1007/S11134-013-9351-0zbMath1280.65010DBLPjournals/questa/PeluchettiRC13OpenAlexW2160082607WikidataQ59304081 ScholiaQ59304081MaRDI QIDQ351502

Stefano Peluchetti, Bruno Casella, Gareth O. Roberts

Publication date: 5 July 2013

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-013-9351-0

zbMATH Keywords

convergencediffusion processesPoisson point processexact simulationbiased Brownian motionGirsanov structureMarkov couplingquasi-exact algorithmsimulation of SDEs

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Diffusion processes (60J60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic particle methods (65C35)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A factorisation of diffusion measure and finite sample path constructions
• On strong forms of weak convergence
• Exact simulation of diffusions
• Retrospective exact simulation of diffusion sample paths with applications

This page was built for publication: The strong weak convergence of the quasi-EA