Exact simulation for multivariate Itô diffusions

DOI10.1017/apr.2020.39OpenAlexW2626315347MaRDI QIDQ5005041

Jose H. Blanchet, Fan Zhang

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

zbMATH Keywords

stochastic differential equationBrownian motionMonte Carlo methodexact simulation

Mathematics Subject Classification ID

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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