Exact Sampling of Jump Diffusions (Q5166255)

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scientific article; zbMATH DE number 6308813
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English
Exact Sampling of Jump Diffusions
scientific article; zbMATH DE number 6308813

    Statements

    title
    Exact Sampling of Jump Diffusions (English)
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    author
    Kay Giesecke
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    Dmitry Smelov
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    publication date
    26 June 2014
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    zbMATH Keywords
    jump-diffusion process
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    stochastic differential equation
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    exact simulation
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    exact sampling
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    unbiased simulation estimator
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    Identifiers

    Mathematics Subject Classification ID
    60J75
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    60H30
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    91G20
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    zbMATH DE Number
    6308813
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