Brownian Bridge and Other Path-dependent Gaussian Processes Vectorial Simulation

DOI10.1080/03610918.2014.901352zbMath1474.60104OpenAlexW2022755059WikidataQ58389574 ScholiaQ58389574MaRDI QIDQ5860260

J. Beleza Sousa, Raquel M. Gaspar, Manuel L. Esquível

Publication date: 19 November 2021

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.901352

zbMATH Keywords

Brownian bridgeGaussian processes for machine learning regressionpath-dependent Gaussian processesvectorial simulation

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Gaussian processes (60G15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Software, source code, etc. for problems pertaining to operations research and mathematical programming (90-04)

Uses Software

• Unnamed Item
• CUDA
• QuantLib

Cites Work

• Pricing American-style securities using simulation
• Smoothness and dimension reduction in quasi-Monte Carlo methods
• Arbitrage Theory in Continuous Time
• Unnamed Item

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