Exact simulation of diffusions
Probability
2007-05-23 v1
Abstract
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.
Cite
@article{arxiv.math/0602523,
title = {Exact simulation of diffusions},
author = {Alexandros Beskos and Gareth O. Roberts},
journal= {arXiv preprint arXiv:math/0602523},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/105051605000000485 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)