Exact simulation for multivariate Itô diffusions
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Publication:5005041
DOI10.1017/apr.2020.39OpenAlexW2626315347MaRDI QIDQ5005041
Publication date: 4 August 2021
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1706.05124
Monte Carlo methods (65C05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (7)
Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models ⋮ Unbiased simulation of rare events in continuous time ⋮ Reducing Bias in Event Time Simulations via Measure Changes ⋮ Combinatorial Bernoulli factories ⋮ Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions ⋮ Exact simulation of coupled Wright–Fisher diffusions ⋮ From the Bernoulli factory to a dice enterprise via perfect sampling of Markov chains
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