On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272): Difference between revisions

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+jump diffusions
@@ Property / zbMATH Keywords: jump diffusions / rank @@
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+stochastic differential equations
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+simulation
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+adaptive exact algorithms
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+barrier crossing probabilities
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+Brownian path space probabilities
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+first hitting times
@@ Property / zbMATH Keywords: first hitting times / rank @@
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+killed diffusions
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@@ Property / cites work @@
+Closed-form likelihood expansions for multivariate diffusions
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+A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
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+Discretization error in simulation of one-dimensional reflecting Brownian motion
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+Retrospective exact simulation of diffusion sample paths with applications
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+A factorisation of diffusion measure and finite sample path constructions
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+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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+\(\varepsilon\)-strong simulation of the Brownian path
+Normal rank
@@ Property / cites work @@
+Exact simulation of diffusions
@@ Property / cites work: Exact simulation of diffusions / rank @@
+Normal rank
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+The Pricing of Options and Corporate Liabilities
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+Simple simulation of diffusion bridges with application to likelihood inference for diffusions
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+Simulation of Brownian motion at first-passage times
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+Exact simulation of jump-diffusion processes with Monte Carlo applications
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+Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
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+Q3723577
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+Exact Sampling of Jump Diffusions
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+Bayesian inference for nonlinear multivariate diffusion models observed with error
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+Discretization of processes.
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+Q4002114
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+Option pricing when underlying stock returns are discontinuous
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+The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures
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+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
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+Stochastic Differential Mixed-Effects Models
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+Numerical solution of stochastic differential equations with jumps in finance
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+Boundary crossing probability for Brownian motion
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+Q4720653
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+Q4828566
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+Markov Chain Monte Carlo for Exact Inference for Diffusions
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+W3101800103
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+Publication:265272