Exact sampling of diffusions with a discontinuity in the drift

DOI10.1017/apr.2016.54zbMath1426.65010arXiv1511.04112OpenAlexW2173372413MaRDI QIDQ5197410

Omiros Papaspiliopoulos, Kasia B. Taylor, Gareth O. Roberts

Publication date: 23 September 2019

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.04112

zbMATH Keywords

exact algorithmdiffusion with discontinuous driftretrospective rejection samplingsampling of diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Approximation for non-smooth functionals of stochastic differential equations with irregular drift ⋮ Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme ⋮ Exact Simulation of Brownian Diffusions with Drift Admitting Jumps ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift

Cites Work

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• A factorisation of diffusion measure and finite sample path constructions
• Exact simulation of diffusions
• Retrospective exact simulation of diffusion sample paths with applications
• Exact simulation for solutions of one-dimensional Stochastic Differential Equations with discontinuous drift
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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